I have also been noticing some changes in mine since I started getting serious about the lifting. I used to be on a pretty regular 26-28 day cycle. Then one month out of nowhere it came 10 days early, lasted 3 days, stopped, and then came again when it was supposed to. This month it came on day 22. My body is confused. It's probably my hormones going crazy.
I'm not an endocrinologist, so I don't know exactly what could be going on hormonally. Usually hormones get out of whack when you are undergoing excessive stress. Stress can be emotional/psychological or physical. A very intense workout or low body fat will trigger your reproductive hormones to shut down. If the body senses that you are not fit to care for a baby, the cycle will shut down. It's your body's defense mechanism to prevent pregnancy during stressful times. An irregular period is the first sign that things could be going wrong. There seems to be little evidence to suggest that temporary amenorrhea, or a total lack of menstruation, will permanently damage your reproductive system. Although an unpredictable cycle can be very annoying. I would suggest toning down the workout for a month to see if things go back to normal. If you can't afford to do that and see the workout as more important, then continue with your current routine, just don't be surprised if you continue to be irregular. Another explanation, since you just started a new routine, could be that your body is just adjusting to new stimulus. Things could settle out after a couple of months. Just wait it out and see what happens.
Also, don't feel embarrassed about this. Hormones are a huge part of physical fitness for women. How our body responds hormonally can have a huge impact on the workout. I know I sure as heck don't feel like lifting lots of heavy weights when I'm bogged down by my period. In one part of the month you go from high estrogen, progesterone and testosterone levels to low everything. It has a physical impact on your body and how you respond to the workout. It adds an extra complication. It should be discussed though, so don't feel like you have given too much information.
I hope this was helpful.