It is a way for the parties to select a fair and impartial jury. Under the justice system, you may be questioned by each of the lawyers before they decide to remove a certain number of jurors from the jury panel.
For example, the lawyer may ask you questions to see if you are connected to the trial or if you have any prejudice or bias toward anyone in the trial. These questions are not intended to embarrass you, but rather to help the lawyers in the jury selection process. You may ask the judge to allow you to answer some questions away from the other jurors.