Honestly I felt the same. Unfortunately that decision was taken out of my hands by others in my family. Since they've done it, I have used their results for research as I felt the cat was out the bag and I am really into my family history.
I would say that the privacy policies of all the DNA sites are not equal though. Some are more of a concern to me than others. You can transfer your results to other sites to gain additional information. This is something I've asked my family not to do.
Between the three DNA tests my family members have done, we've found a number of 'naughty' family members.
One person who turned out not to be who they thought they were and had a different father than they thought.
One illegitimate woman who took the test in the hope of finding out who her father was. She was born during WWII and sadly died recently before we saw the result. We've been able to tell the daughter some information to help her further.
Then an uncle who had a fling with a woman and it turns out had a daughter no one knew anything about.
We HAD expected something to come up given characters within the family. However the surprise has been that the unexpected results have not been where we were anticipating them!
I don't think you can remotely prepare yourself mentally for the results because even if you expect something unusual, the possibility of other hidden stories is just too unpredictable.
It's been interesting but I can't say I'd recommend others to do it. It's a can of worms to say the least.
That said my family members are who they thought they were and it has helped prove a large amount of research and break a few brick walls which would otherwise been impossible using the surviving records.