Got a call to do a gig at an amusement park once, which I thought would be cool. At the time I was playing in a Christian hard-rock band, all originals. We got there and it turned out to be a political fundraising function of some sort. They wanted us to play soft covers during dinner. We had never played a single cover together, not one. I thought to myself, who in the world hired us for THIS? And why did WE (by we, I mean the singer who did the booking) say YES?? It was excruciating.
As far as embarrassing, I played in a rock-n-roll cover band in high school that got hired to play at a church youth group dance. We usually played parties and school dances. Anyway, we're churning through our regular set - basically, all the songs we knew - and the bass player plays the opening riff to Van Halen's "Running With the Devil." Only as I was playing the bell of the cymbal leading up to the guitar line did it occur to me this might not be the best place to play this song.
Actually, the kids loved it, but the pastor of the church gave us an earful, and we weren't invited back.