Have had them annually for at least 15 years or more. No big deal and there's nothing remotely erotic about it whether it's a male or female doctor (my doctor is male, but have also have the exam by a female PA). A few seconds of mild discomfort.
As someone already noted, which is worse, potential embarrassment or missing early warning signs of a potentially serious problem? I've known a few men who've had prostate cancer and believe me, treatment is no picnic.