Not embarassing yourself at all! I really understand what you are talking about. I get sucked into particular anime/manga really easily. In part, I know that is due to the skill and imagination of the artists/manga-ka, but also, I am always yearning and wishing to have some true interactions and experiences with these characters. One example being FMA, I've been watching through that, and the mood gradually shifts from happy and light-hearted to tragic and dismal, thus far anyway. I won't put any spoilers, but when something tragic happens, I get pretty torn up, because of the connection that has been made with the characters. It's a heavy thing.
This is also why I am so in love with the Final Fantasy game series. Those games involve the player very very personally, and it makes the world, plot, and characters so close and real to the player, no matter who they are in reality. It's sad when the game ends, feel like I'm being torn from people I've spent great time with.
Yeah, I get pretty attached also. I know nobody is real in these things, but that is where the dreamer in us all takes over, right? ^_^