Julia Lautowa had a similar incident in 2003. http://www.youtube.com/watch?v=bIy94L5Y0iw Go to 3:59 in the clip.
Then there was 2004 Worlds when Michelle Kwan took to the ice for her FP when some guy in a tutu and no shirt came on to the ice and delayed the start of her performance: http://www.youtube.com/watch?v=zir_Bj7Dw8E It must have been especially unnerving since she had endured a deduction in the SP for ending her program after the music was finished.
Unnerving, yes (for most people), mortifying, no. Why should she be embarrassed by a fool who breached extremely lax security. Michelle didn't get outwardly rattled at all by this incident, proving she is competitor with ice-water in her veins. I do think it affected her because she popped a triple into a double late in her program. But she still had five clean triples and some judges even placed her first.