I wonder that as well. It is completely natural; there is nothing to be "ashamed of" or "embarassed" about. Why is it that the average child sees 10,000 murders on TV by the time he's 16, yet he can't even see another person's naked body? Is society saying that killing another human being is more acceptable than seeing someone naked? Even if you take it further and talk about sex, sex is still perfectly natural and there is nothing inherently taboo in it. If there was, the human race wouldn't survive past a generation. I think I once wrote a multi-page paper on something like this.
As far as I'm concerned, I think its because some religions like to think that humans are far and away more superior than animals, and this is just one of the ways they demonstrate it. Animals may run around unclothed, but god forbid humans actually stoop to such a level of primal simplicity. It's just another one of those absurd "humans were created to be masters of the earth" ideals.