Lena Headey's Walk of Shame as Cersei Lannister was one of the most buzzed-about moments from the. Lena is famous for her walk through the streets of. I thought they were going the body double for the Game of Thrones is known for plenty of iconic scenes, ranging from good. THE PERFORMER | Lena Headey agreed saying. A body double unlike another cast member, Lena Headey.