Shame is one of the most intense emotions I feel... and undoubtedly one of the most uncomfortable. I think it's actually the only one that has never brought me even the slightest bit of enjoyment. (Even very negative emotions can sometimes be very satisfying to experience for me.)
I'm not sure I really want to talk about the one thing that make me feel the most shame. It's an extremely uncomfortable subject for me to discuss and usually makes me feel like hurting and mutilating myself (not even kidding). I hate it though, I hate it so much. It makes me feel physically ill. Most of the other things (besides that one subject) that cause me shame fall under the category of what @snowbell mentioned -- failing to live up to expectations (my own or those of others). This is actually a pretty big one for me because I've struggled with severe mental health issues since I was in my early teens (I'm 27) and so far, that has kept me from doing pretty much everything I wanted to do in life. I feel an incredible amount of shame surrounding that... especially when people ask me things like where I went to university (I didn't), where I work (I don't), what I want to do with my life (I have no idea), what my hobbies are (I don't really have any anymore), what I've been up to lately (usually nothing at all except sitting on my ass in front of my computer, not going out anywhere, engaging in all the behaviours that come with having an eating disorder, sleeping and crying). I just have nothing to show for 27 years of life and I hate people asking about such things.
Interesting to see that many INFPs struggle with shame. It is the biggest enemy in my life. Sometimes I feel ashamed that I am even alive. I want to kill myself and leave life to people who are worthy of it. I've never known where it came from, but recently I've begun learning about circumcision, and realizing it is basically very violent sexual assault (watch a video of it if you can stomach it). And if I question, "why were my genitals mutilated?" people shame me into silence. I feel ashamed that someone can have such power over my body that they can strap me down and take a cutting instrument to it and I cannot defend myself. This is perhaps material for a thread of its own, but it's hard to talk about without being belittled, dismissed, and ridiculed.