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So yeah, secondhand embarrassment sucks. Especially if you get it from media, or more specifically, media that isn't designed to make you get it in the first place. The urge to shout "Don't do that" at a fictional character isn't particularly helpful or effective, after all.
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Dramatic irony is a funny feeling.
Those are the times you say fuck it and root for the monster.
This is called Cringe Comedy.
It depends, though. Like, you can still feel it on drama when you see a character perform an action so obviously dumb you can't help but want to smack them.
I think the worst moments are like say where an author tries to push a joke that is not funny in the least.