I have been there too, and I know how you feel. It's even worse if you're 100 pounds overweight (which I used to be) and trying to find exercise gear. There are places to get it, but they're very rare. I get all of mine from
http://www.ladiesonlysports.com which has a section of plus sized exercise gear. Not only do they go up to size Large, they go up to XL, 2XL, 3XL... some of their stuff goes all the way up to size 8XL! ANYONE can wear these things. They're great. Especially the Enell sports bra. Oprah uses that one, and if it's good enough for her, it's good enough for me.
Honestly, though, I do know how embarrassing it can be. It's because we think "I'm too fat to shop in normal stores." What we should be thinking is, "Over 60% of people in the US and Canada are my size. 'Normal' sizes ARE my size, so if this store doesn't have them, they're losing what should be more than half of their money in sales to people my size." Then, armed with the knowledge that we are the majority, walk up to the store manager and say, "You know, this store is only catering to 40% of the population, and could be making a lot more money if it stocked larger sizes. When do you think you'll have size 16 available?" Don't make it seem like it's a failing on your part, that they don't have your size. It's their failure, not yours.