The shame and embarassment.
I saw MP and the HG back in about 1978 when I was in the Navy, and this guy in the barracks I lived in bought the LP (yes, that was back in the days of LP records. In fact, that was so long ago that I think the cover sleeve was all written in Roman numerals or something...) Anyway, this guy played that album all the time, and I got to know quite a few of the skits by heart. In spite of that, I've never gotten tired of the movie. It still cracks me up to this day. And it's amazing at what a low budget movie it really is.
Here's an example: I read somewhere that the whole deal with them using clacking coconuts to simulate the sound of horse hooves wasn't just a gag done for stupid humor. Actually, to save time and money on production costs (the creators didn't want to have to spend time and money on training the actors how to ride real horses) they came up with the coconut idea. But still pretty funny, all things considered.