It's always weird to listen or watch yourself in retrospect. Despite hearing your own voice all day when you speak, nothing can prepare you for the pure, unadulterated cringe that comes from hearing a recording of yourself. That's one of the many reasons I have the utmost respect for actors. If re-listening to my voice-mail once for the purpose of proofing is enough to make me want to evacuate my body in embarrassment, I can't imagine how bizarre it must be to watch yourself with an audience. If there's a tenth circle of hell, that has to be it.
In any event, actors have apparently grown callouses over the part of their personality that feels embarrassment, as evidenced by the video linked above. Actress extraordinaire Elizabeth Moss sits down with Vanity Fair's YouTube channel to rewatch some of the best scenes from her varied career in television, from Mad Men to The Handmaid's Tale.