Embarrassed indicates that you're ashamed by something or don't feel good about witnessing the event. The reason will most probably be somebody's opinion or act. You're confused when you don't understand something but this will not necessarily be inappropriate, like somebody's long and complex explanation or a term from the scientific area.
Bewildered is kind of similar to confused, I would say it indicates that you had thought you were right but someone proved you wrong and you're surprised about it.
As a non-native English speaker I often hear and use embarrassed and confused, whereas I've never come across bewildered but for the literature.
When my boyfriend got drunk on a family party I was embarrassed like never before.
The chairman's speech was quite embarrassing taking into consideration that there were many blind people among the audience.
The teacher's explanation was confusing but eventually everyone grasped it.
I was bewildered to see my girlfriend kiss another boy's cheek.