As I've posted here before, I never bother with a gown. So when the doctor comes in to examine me, I'm usually just sitting there nude with a small paper drape over me. I like doing that and I'd say that it does add to the embarrassment (which I greatly enjoy).
I do remember one time years ago when I asked that the nurse stay as a chaperone. I guess I was going through a phase when I was craving the embarrassment of having someone else in the room during the exam.
The way I did it was with some not so subtle hints to the nurse while she was doing the preliminaries like blood work, temp, etc. I told her I couldn't remember how they did things there at that practice and asked her if she came back in during the physical. She said that no, not usually, but that she could if necessary. I told her that my wife didn't think it was right for me to be seen by a female doctor for a physical (an outright lie) and that my wife suggested that a nurse should be there during the exam. After saying this, the nurse readily agreed to come in for the exam -- saying that, well, if it would make me or my wife feel better, she would come in.
So when the female doc came in for my physical, the nurse also came in at the same time. It was a complete head-to-toe exam and the nurse stood in the corner and watched the whole thing.
So yeah, I do try to add to the embarrassment sometimes.