"For I am not ashamed of the gospel of Christ: for it is the power of God unto salvation to every one that believeth; to the Jew first, and also to the Greek." (Romans 1:16)
The Apostle Paul was not ashamed. His message is the Gospel of Christ, the Good News. It is a message of salvation, it has life changing power and it is a message for everyone!!!
The message went out to the Jews first simply because for 2000 years, they had been God's special people. He did not choose them because they deserved it, but because he wanted to show his love for them and teach them and prepare them to welcome the Messiah. His choice was not of favoritism, but so they would tell the world about his plan of salvation.
They stood alike, Jews and Christians, against the idolatry practiced in Roman religions, which in some Christian denominations is still practiced widely today, and are more afraid of being thrown out of their church than they are of the wrath of God and the power of the enemy! Those practicing Judaism are still living under the law handed down by Abraham and Moses and are waiting for a Messiah that has already come.
Don't be ashamed to live your life according to God's plan for you and according to his word. Don't be ashamed to speak out in love and kindness! Be the example of Christ - love others, love sinners, love God.