My middle name isn't particularly embarrassing, which is good, because it's what my parents chose to call me, and everyone else (myself included) followed suit.
It does get weird, though, when I have to explain that I only use the numerical suffix with the first initial because neither my dad nor his dad ever called themselves "Keith". I always sign it (initial) Keith (surname) III; I have (initial) Keith (surname) on my driver's license, but I cringe whenever I see Keith (surname) III without the initial. It's even worse than having to say the initial; and in those cases, I usually either introduce myself as (first name) Keith (surname) III or simply as Keith (surname).
Going by my middle name is okay, but I always have this irrational fear of going through hassles if electronic machines can't tell that Keith (surname) is the same person as (firstname) (surname) and that the (firstname) (surname) born in 1980 is not the same as the one born in 1952, who is not the same as the one who lived from 1918 to 1979.