I once heard a nice shtickel that relates to this:
The Mesillas Yesharim explains that Hashem created the world in order to give to us, because He is a Tov U'Meitiv. The "prize" that He wants to give us is olam haba, and deveikus BaHashem, which is the greatest possible pleasure that a neshama can experience. The reason we have to be sent to this world is so that we can do mitzvos and "earn" our olam haba, so it should not be נהמא דכיסופא, "bread of embarassment," i.e. getting a freebie is shameful.
But the big question is, how does shuckeling a lulav, and eating matzah, and wearing tzitzis, etc. (oh yeah, and keeping our eyes, minds, and privates clean
) constitute "earning" the infinite pleasure of being נהנה מזיו השכינה? The effort exerted does not even come close to the magnitude of the "prize"!?!?
The answer I heard was that by doing mitzvos and following the instructions, it's not that we "worked hard enough to deserve the reward." Rather, by following G-d's instructions, we are solidifying our father-son relationship with Him. It is shameful to take a freebie from a stranger, but it is not shameful to receive help from your loving Father, who you have a relationship with. It's expected and natural that your Father gives you goodies, even if you didn't "earn" it! But we have to keep that relationship alive, so it is does not feel like we are getting goodies from our estranged Father.
Does that make sense?