I wouldn't feel embarassed at all. Call me an idiot then if I find it art, I don't care -_-.
Ecchi, and many other styles of drawn manga are certainly to be considered art. All my friends and even family knows that I like this kind of stuff. (Anime, Manga, and the included art with it - yes, also Ecchi). They don't care about it or think "strange" stuff about me when I love that kind of stuff cos they know I'm not a sicko/pervert or whatever.
I hate it when someone immediately gets associated as a pervert when they love such 'art'. I do agree that plain hentai movies are going a bit too far though. Personally I do not like hentai at all. If you wanna look at hentai you might as well watch some good pr0n then.
I don't mind a short soft hentai part in a series if it has some meaning to the storyline. I think that you know what I mean here.
So shortly, yes, I like ecchi, but there are limits to it.
Btw. Literally Hentai means "pervert". and "Ecchi" is Japanese for "h", which is the first letter of Hentai. These are just terms otaku's created btw ;).