I think the Biblical account is a good place to start. Velleman starts there, though as far as I'm aware he's not Christian. What he suggests is that shame relates to lack of self-presentation; after the fall, we couldn't prevent our organs from betraying us. They expose our desire, even if we don't want them to.

My problem with his argument is that even if our organs are incapable of such a response, we still feel ashamed of our nudity. Perhaps less so, but why at all?