Don't be embarrassed mate, seriously, phone them and ask why. Even if it was that you performed poorly in the interview, which i'm sure you did your best, you will learn from it and come out of it a better person.
IMO it's worse not knowing why you didn't get the job, and It shows that you are willing to learn from it.
I didnt ring them up. Ive applied for Netto now, handed form in today. About 1 week before the summetr holiday ill re apply at Morrisons and greatly increase my hours on the application to better my chances at getting a place. If they still say no i'll take the hint that they dont like me for whatever reason.