'Game Of Thrones' -- It Costs a Ton to Keep Cersei's Nude Scene Secret

Lena Headey's naked bod was finally unleashed on the "Game of Thrones" set -- sort of -- but producers racked up a $50,000/day tab to shoot the scene ... and keep it under wraps.

According to our GoT spies ... more than 200 security guards were hired to protect the set while shooting the "Walk of Shame" scene -- where Lena's character Cersei walks stark naked out of a church and through town. We're told the 4-day shoot in Croatia got so pricey because of the added crew -- and producers having to pay local shop owners to shut down and leave the area.

Cell phones were banned on set so photos wouldn't get leaked (oops!) -- and everyone signed confidentiality agreements that threatened $250,000 lawsuits for violators.

It's been a bitch to get this far. We broke the story ... the whole scene was nearly called off when church leaders banned any nude shoots. They ended up shooting on the other side of town.

As for who actually witnessed Lena, au naturel -- we're told only 4 key crew members were present for the unveiling.