I had people do that too. xD
First place I trained was at the local Elementary school.
They had a big brick wall i'd practice my wall-run on until I had it down to where I could get up to it every time with minimum pain. Took me about a month.
Then I moved to a playground where I practiced vaulting over picnic tables and bike racks.
I definitely got some odd looks while doing that.
By that time, I got what I consider "Parkour-Vision"! >D
Lame name, I know.
But that's pretty much where you see things as they weren't originally intended to be seen.
You see a rail, but it's not a rail. It's a step for you to climb up or vault over.
A wall isn't a wall; it's a really steep floor!
You get to the point where anything you see, no matter where you are, is something you can train on.
Even something as small as a tree stump.
As for the embarrassment factor; don't even worry about it man.
If it's people laughing at you that bothers you, don't pay them any mind.
When I wanted to shut people up, I scared 'em a bit. :]
Nothing like a jump from a high height (yet safe if you know what you're doing) and a perfectly executed roll to freak some people out, eh?
With training comes more solid technique. With more solid technique comes less embarrassment. With less embarrassment comes more training!
You see what i'm getting at? I hope this made sense.. xD
If all else fails, use your backyard. :]
And try to see everything as something you can implement into your training.
