There are shows or products that many people are ashamed to watch/use. That doesn't mean a character won't enjoy it and continue to consume it anyway, regardless of what's going on.
Guilty Pleasure may, but does not always, overlap with Closet Geek. "Guilty Pleasure" implies that a person feels guilty for enjoying a show or product that is actually not worthy of their appreciation—they believe that it is low-quality, but for some reason like it anyway. The Closet Geek hides their fanhood for fear of what other people will say, but they may believe that the things they like are legitimately good and worthy of appreciation.
(This is a trope; for the novel Guilty Pleasures, see the Anita Blake page.)
Full Metal Panic!: The Second Raid: the OVA is about Tessa trying to get her teddy bear back before somebody else finds out about it. Belfangan Clouseau tries to keep his Anime habits a secret as well, mostly Played for Laughs.
Hen Zemi: Nanako seems quite non-perverted when compared to the rest of the cast, but as the series progresses she begins to like and admit some of her odder preferences. Such as enjoying the smell of her flatulence in the bathtub, or beginning to strip at a party when the lights went out.
A Running Gag brought up every so often in Shin Chan is Georgie's denial of watching a girls show called "Princess Heiressz", but it's his guilty pleasure and favorite show to watch.
Kiyoshi from Kangoku Gakuen loves sumo wrestling but doesn't want his crush, Chiyo, finding out but he thinks she'll think he's weird. She does find out though and it turns out that she's a sumo wrestling fan as well.
RED Sara Ross likes to read trashy romance novels which she tells Frank Moses are terrible but so addictive. Incidentally, we later see Moses himself reading those same novels (though whether he genuinely enjoys them or is only doing it for research (or "research") is left unstated).
In the Ms Wiz books, Jack Beddows apparently carries around a few Beatrix Potter books and when asked about them he says they're for his sister. Then when the characters get released from the books (long story) he's in near tears when Peter Rabbit appears to have been run over by a bus.
The East German novel Die Aula by Hermann Kant has a high party functionary who claims the Karl May novel in the back of his fancy car belongs to his chauffeur.
In Firebird (Lackey), Ilya is a little pleased to see Pietor among the Katschei's statuary. He's really, really pleased to be able to rub his brother's face (and his father's, by proxy) in his eventual, overwhelming success. He's also very pleased to leave his brother and his cheating bride to their dismal fate together.
The first of Laurel K. Hamilton's Anita Blake novels is actually named Guilty Pleasures (which seems quite apt given that about half the series' fanbase regards it as one). The title has an equally appropriate use in-story as the name of a sleazy vampire-fetish nightclub.
Supernatural episode "Changing Channels", Sam earlier caught Dean watching a hospital show called "Dr. Sexy, M.D.", but Dean claims he isn't a fan of the show. Later on, "Dr. Sexy" actually appears.
Dean Winchester: [notices the doctor's footwear, slams him against the wall] You're not Dr. Sexy. Dr. Sexy: You're crazy. Dean Winchester: Really? Because I swore part of what makes Dr. Sexy sexy, is the fact that he wears cowboy boots. Not tennis shoes! Sam Winchester: Yeah, you're not a fan... Dean Winchester: It's a guilty pleasure!
Castle episode "Always Buy Retail". Castle compares having sex with his ex-wife to a deep-fried Twinkie.
Ryan: A deep-fried Twinkie? Castle: Yeah, the guilty pleasure that you know is bad for you, so you only do it once, maybe twice a year for the novelty.
Also Beckett watching Temptation Lane, a soap opera that she used to watch with her mom when she was little. Castle sums it up PERFECTLY:
Castle: That's just so delightfully not you!
Glee had an entire episode, appropriately titled "Guilty Pleasures", revolving around the kids' guilty musical pleasures. Spice Girls, Barry Manilow, and Wham! ensued.
Big Time Rush: One episode in which the guys have a photo shoot for a Tween girls mag. Only one of them is familiar with the magazine and the others shockingly look at him, almost in disgust, and one even asks him is that Katie's. He replies that those"...magazines have great articles for guys too." Seconds later, as they are mocking him, another guy in the band reads a headline about heartthrob coverboy and becomes interested in what the interview with said hearthrob says. The guys get into an argument about what their opinions and the hearthrob's about what to bring to a desert island. So in mere seconds they go from mocking it, to liking it.
Friends: This is a question asked by Ross in the quiz to see who would get the better apartment:
Ross: Rachel claims that this is her favorite movie?
A few seasons later we find out Rachel also likes to read a steamy romance novel about a vicar's wife having an affair with a stable boy. She keeps this hidden under her pillow.
In M*A*S*H, Major Winchester admitted to a woman whom he was dating at the time that he secretly enjoyed Tom and Jerry cartoons.
In the Vocaloid song "Magnet", Luka and Miku know they aren't "supposed" to be in love, but that only fuels them with more passion.
Larry Groce's "Junk Food Junkie" is all about this trope:
Yeah, in the daytime I'm Mr Natural Just as healthy as I can be But at night I'm a junk food junkie Good lord have pity on me
Adam@Home: this strip for 2-22-11, Adam and his wife discuss theirs.
Clyde, the closest thing that Candorville has to a stereotypical black male, is often found selling these. On one occasion he used a similar approach to sell something highly secret—the main character thought it was drugs, but it turned out to be videos that were Guilty Pleasures.
Ace Attorney: Edgeworth would never admit that he's a big fan of the Steel Samurai, even though he keeps an expensive miniature of the show's hero next to his tea set.
This is the plot point of Hell Yeah!. Someone has discovered that the prince of Hell likes rubber duckies? Why, MURDER THEM!
In Persona 3 Portable, Ken's social link for the female main character has him regard his love of Phoenix Ranger Featherman R as a guilty pleasure that he wants to grow out of, because he feels it makes him immature to like a Sentai show. You can respond with dismissal of the show, open enthusiasm for it, or a similar confession that it's a personal guilty pleasure too.
Ctrl+Alt+Del: Lucas purchases a copy of The Sims here while trying to be as discrete as possible. The clerk sees Lucas' copy, and begins to heckle him for buying a "girly game", until Lucas threatens him with physical violence.
In Wapsi Square, Monica watches a TV show called Sugarbear, which she considers a guilty pleasure.
In this strip of Men In Hats, Giftedly Bad Jeriah says he's going to describe himself as a guilty pleasure, to attract people's interest and get them to see how charming and endearing he self-allegedly is.
Gamal: What if they decide you're just a whiny narcissist? Jeriah: Then they were probably too smart to be taken in by the whole guilty pleasure bullshit.
Arthur: Arthur is secretly a fan of "Love Ducks". He keeps it a secret because (per the title of the episode) "That's a Baby Show". By the end all of his friends are into it.
The Legend of Korra: Tenzin regards Pro-Bending as a mockery of the ancient elemental arts. Nevertheless, he is later shown to be cheering Korra on during the tournament and familiarizing himself with the rules.
Phineas and Ferb: An episode featured Candace going to a comic con dressed as Ducky Mo-Mo, a character she enjoyed since she was little, but was too embarrassed to admit she still watched it.
The Simpsons: Dr. Marvin Monroe admits that one of his "guilty little pleasures" is grabbing a bucket of popcorn and watching "Itchy and Scratchy".
The premise of the episode "Read It and Weep" was Rainbow Dash discovering that reading can actually be fun after lambasting it as an egghead hobby. She's driven to petty theft by the end of the episode in order to finish the book she had started.
In "The Ticket Master", Spike feels the Grand Galloping Gala is way too girly, but winds up getting excited after getting his own ticket to go.
Sponge Bob Square Pants: One episode is centered on Squidward's unexpected liking of Krabby Patties. He tells Spongebob that they're disgusting and even goes as far as burying one (with a full headstone.) At the end of the episode, Squidward explodes from all the patties he ate.
In Gravity Falls, Dipper would never admit that he's a big fan of girly Icelandic pop sensation BABBA.