We'll share them with each other, but we do get embarrassed. Especially if it's not something we are sure that the other likes. I've shared all of my fantasies, but I know my wife has a few she hasn't said just from shyness.
As most have already stated at first we were hesitant to share fantasies for fear of embarrassment or rejection. Over the years we have become more open about the things we fantasize about and we have both told stories or things that happened in our past that really got the other person turned on. We have also been more open to trying new things together as we have been able to share our likes and dislikes and what our wildest fantasies are.