With reporting by Josh Horowitz

It's a classic nightmare: you're in a crowded room, and feel a breeze. You look down. You're naked!

Kristen Wiig experienced exactly this while filming "Welcome to Me," except it wasn't a dream at all. One scene in the movie, in which Wiig plays a woman with Bipolar Disorder who buys a talk show starring herself after she wins a mega jackpot in the lottery, required Wiig to walk totally naked through a fully operational casino.

"They couldn't close it down," Wiig told MTV News of shooting the scene in the crowded locale.

Fearless as she may seem, Wiig described filming the scene as "terrifying."

"I was so nervous about it obviously since I read the script, because when I read it, I was like, 'oh, if I do this movie I have to do this scene. I can't do like, the slot machine's right here.' I didn't want to do that thing."

Though she reiterated that the experience was "scary," Wiig also said that she gained something from it as well.

"After I did it the first time, I was like, well, that's oddly freeing, to be totally naked in front of a bunch of people that you don't know," she said. "It's scary but it's something I can say I did."

"Welcome to Me" is in theaters now.