I had this happen to me for the first time this past Saturday. I was doing deadlifts (not a lot of weight by any means, 260 lbs.) and apparently majority of the people at my local Y have either never seen anyone do deadlifts or seen anyone do deadlifts with that much weight.
Anyhow, by my 2nd rep out of 5, I noticed about 8-10 people just staring at me, watching me do my deads. It was really distracting and even more embarrassing. I wanted to stop and ask "What are you looking at?"...but, I just finished my set without saying anything.
As I was leaving the gym, I overheard one guy mentioned to his friend "Did you see all those people who were starting at him when he was doing that lift?" which made me feel even more embarrassed.
On one hand, I guess it was kind of cool to have everyone staring at you in awe (at least I hope they were staring in awe and not staring at me like I was a dumbass or something) ...but it really was more embarrassing than anything.