I feel shame over bugs. Of course, it depends on the nature of the bug, but there are definite moments of deep self reflection, which I think that I internalize as shame. While I reflect and move on, as a professional, I should be making as few mistakes as possible. When a star hockey player screws up a play that could have won their team the game, I imagine that they feel shame - not that they will get fired for the incident, but self relection is how you improve, and in many people, that manifests as a healthy amount of shame. (Not that I'm the Gretzky of software development).
Recently, a piece of code that I wrote crashed after running for over a month because I forgot to lock one of several methods that was concurrently accessing a collection. I was very ashamed of this - this was an amateur mistake, and one that someone with the amount of experience that I had should not have made. I didn't get any any trouble for this, but I was pretty ashamed. "I am better than this, and I should not be making this sort of mistake," I thought and have been very careful to avoid this sort of thing since.