There are many reasons people like to go naked. Comfort and excitement are just two of them. What the science says about it is interesting, particularly as it relates to shame.
Before going further, I would like to point out that societal comfort with nudity varies greatly from place to place. Modern Western society is particularly shaming about the naked human body, while public nudity is more common in other cultures. Historically, an understandable trend toward clothing is correlated to colder climates, with nakedness being common in hot/warm places. This clearly indicates that shame is a learned behavior.
In 2009, as part of a BBC series, a group of eight ordinary people were brought together for an experiment and filmed. They wanted to explore why people were so uncomfortable with naked bodies. Many remarkable things were learned. Most importantly: peoples' discomfort or shame of nudity quickly disappears when they are around other naked people. They also discovered that the anxiety of men and women is a bit different. Women worry more about what people will think of their bodies while men worry about getting erections, likely due to the fact that Western society has tended to put more body image pressure on women than men. That may be changing. This experiment was done in 2009. Since that time studies have shown growing pressure on men to have "perfect" bodies. You can watch a documentary about this study below here.
Not only can people quickly learn to shed the same of nudity simply by shedding their clothing, according to many, including this Article in USA Today, there are a number of physical and psychological benefits to going naked.