Wahjah is embarrassment by proxy. The awkward feeling is most pronounced when the person making a fool of themselves is so earnest in what they're doing that they don't see it as being embarrassing. It's an internet term that is starting to pickup popularity thanks to Shawn Elliott, formerly of Games For Windows.
Here's a good example of Wahjah.
When I was a little kid I thought that was kind of cool. As an adult I wonder who the hell thought this was a good idea. My God its just sad.