Quite the opposite. I'm terrified of real exams! It would be nice if enjoying them was more of an option. Sometimes I even try; just as a sort of coping thing. It eases the discomfort for a second or two, but it's not really a good time to fantasize. The doctor (mine at least) is often shooting rapid fire questions while it's happening, adding on to the overall distress. It can be difficult enough to answer the doctor without a crude approximation of two shoe horn bills and a scraping pipe cleaner looking thing up your hoo-ha, let alone with that added little bit of highly uncomfortable distraction.
I do get a little kick out of it whenever they do the rectal part. I don't move, breathe, or heaven forbid *say* anything about it, of course. I think of it as a tiny, cheap, highly inappropriate thrill as a reward for getting through the other parts. I don't really react to it then, nor enjoy it much at the time. However, the setting, sensations- the coldness of the exam table under the back, the odors of vinyl and antiseptic, the latex and lube against bare skin- well, that can be useful when alone, and not creeping on medical staff. They don't seem to do that as much as they used to, though.
It's never the actual healthcare team that's doing it for me, once it gets filtered into fantasies. I extrapolate elements of what's happened, and tweak the actual experience into something more pleasant. That sort of help negate some of the anxiety that occurs in the next few days while waiting for the results of the exam.