General:
* Proud
* Confident
* Bold
* Unapologetic
* Open
* Forthright
* Frank
* Candid
More specific:
* If referring to a lack of shame in one's appearance: Daring, audacious, defiant
* If referring to a lack of shame in one's actions: Fearless, brazen, audacious
The best synonym will depend on the specific situation and the nuance you want to convey.