I literally blush and sheepishly smile when a character does something embarrassing. I feel their embarrassment. So that forces me to also close the book and blush. And blush. Till my red cheeks turn back to normal!
Except for this time I read Game of Thrones and I had to stop because I was so pissed that someone died AGAIN!<---- I've never read those, but I'm glad I haven't because I like the feeling they described better than that feeling.