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In Spanish, vergüenza ajena describes the embarrassment you feel on someone's behalf. Say, a person stands up and sings horribly, or a man makes a fool of himself trying to pick up a woman. It's an empathetic feeling you have when watching them.

When it was first described to me, I had no idea how to translate it, much less what it was. I simply said, "We don't feel that." But since then, I've noticed that the trademark performances of Ben Stiller and Ricky Gervais tend to generate that feeling, specifically when they begin to say something ridiculous, try to find a way out, and then ultimately get trapped in a long awkward silence. It's that kind of feeling.

Curiously, since having a phrase to describe this (albeit in Spanish), I've become much more aware of it. It's like the feeling has suddenly come into existence.

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"Feel embarrassed for" – WBT Jan 8 at 18:06
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Oh man, I know that feeling REALLY WELL. It makes it super hard to watch many movies; I have to force myself not hit pause, repeatedly, during such scenes. – Erhannis Jan 9 at 6:10
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According to Wikipedia the phrase you’re looking for is, surprise, surprise: vicarious shame:

Vicarious shame: refers to the experience of shame on behalf of another person. Individuals vary in their tendency to experience vicarious shame, which is related to neuroticism and to the tendency to experience personal shame. Extremely shame-prone people might even experience vicarious shame even to an increased degree, in other words: shame on behalf of another person who is already feeling shame on behalf of a third party (or possibly on behalf of the individual proper). The Dutch term for this feeling is 'plaatsvervangende schaamte' and in the Spanish language as 'verguenza ajena'.

It is quite an apt phrase too. Merriam-Webster defines vicarious as:

3: experienced or realized through imaginative or sympathetic participation in the experience of another < a vicarious thrill >

The phrase appears to have been around for some time. You can find a few instances in Google books. For instance, Silvan S. Tomkins, Affect Imagery Consciousness, Volume III, 1963, p. 225:

If he is angry towards me or anyone else and must swallow his anger and this generates shame in him (…) then I may feel vicarious shame for him.

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What?! Really? Well, that is funny. – Matt Jan 8 at 17:40
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Indeed, someone thouht of vicarious shame before you did! – Jacinto Jan 8 at 18:05

The examples of Stiller and Gervais make me think of the term cringe comedy:

Cringe comedy is a specific genre of comedy that derives humor from social awkwardness. Often a cringe comedy will have an air of mockumentary and revolve around a serious setting, such as a workplace, to lend the comedy a sense of reality. It could be argued, therefore, that the film This Is Spinal Tap (1984) was a forerunner of cringe comedy. (WP:Cringe Comedy)

Wiki references this Time article from 2013 which gives a more informal definition that seems to map closely to what you're talking about:

Cringe comedy is all about the painful laughs derived from the awkwardness of social interaction and around people’s lack of self-awareness

The sentiment is to some degree also schadenfreude.

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Fremdschämen is more appropriate than schadenfreude (which indicates pleasure). en.wiktionary.org/wiki/fremdsch%C3%A4men – Matt Jan 8 at 17:42
    
-1. While the rest of the answer is good, the blatant misuse of schadenfreude (which implies happiness/pleasure, instead of awkwardness/cringing) is plainly wrong. – March Ho Jan 9 at 4:36

If I see someone do something that makes them feel genuinely ridiculous/embarrassed/ashamed I may well cringe.

(OED) fig. To experience an involuntary inward shiver of embarrassment, awkwardness, disgust, etc.; to wince or shrink inwardly; (hence) to feel extremely embarrassed or uncomfortable. Freq. with at.

Unlike schadenfreude, which I understand (!) means taking pleasure in another's discomfort, cringing at another's situation is a most uncomfortable sensation. Cringe comedy (see above) invites us to savour this feeling.

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These days the term I typically hear for this situation (particularly among the young) is to describe the situation as "awkward".

When I was younger, that word was used primarily to describe someone not looking particularly natural while performing some physical task. But today it is used anytime someone finds themselves witnessing someone else going through a situation that ought to be really embarrassing for them. Particularly in certain kinds of situation comedies.

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Yeah. Craig Ferguson (of talk-show fame) liked to finish a segment with a guest by having an "awkward pause." Don – rhetorician Jan 8 at 17:53

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