(English is not my native language, please bear with me.)
The discrepency between the polling/exit polling and the actual outcome in the Virginia governor election has been attributed to the 'shy Tory effect' by some pundits. According to this theory, some supporters of Ken Cuccinelli were ashamed (or shy) to state their position because Cuccinelli is seen as extreme by some people. The theory has empirical support from the UK in the 90's when the conservative party (the Tories) generally outperformed the polls and a report concluded that a part of the explanation was Conservative supporters refusing to disclose their voting intentions.
I believe the shy Tory effect is real, but I don't think shame or shyness play any major parts.
Working as a journalist in Sweden for close to 15 years and in the US for a short period (during the darkest years of George W Bush), I have on many occasions had reason to approach strangers in a way that is probably quite similar to how an exit poller would approach them.
My conclusion is that distrust (of fellow human beings, of elites etc), misanthropy and a "what's-in-it-for-me-attitude" probably go a long way to explain the shy tory effect, whereas shame and shyness are less important or not important at all.
And I believe that distrust (fear is thy name) and misanthropy are more prevalent on the conservative side of the political spectrum, that's why right-wingers tend to support stand your ground-legislation and are suspicious of gun control, government or any other 'collective' solution to a shared problem. A person with a high level of social distrust doesn't feel that we are in this together, people are on their own.
A person with a high level of distrust is more likely to turn away an exit poller (or a journalist) because he doesn't see what he has to gain (what's in it for me?) and he may also perceive that there is some kind of risk involved. If the exit poller or the journalist is seen as a part of an establishment the distrust can be aggravated.
I have no sociological research to back this up, but as a journalist this is my take on the shy Tory effect. I sense that there may be a higher level of social distrust among 'conservatives' in the US than among conservatives in other western countries (indicated by the lack of collective and universal healthcare, lack of gun control, anti-government-vitriol etc.) and that the shy Tory effect could be stronger in the US than in some other countries but that's not really for me to say.