Yeah, I think it's pretty embarrassing to be walked in on as well. Two of our children have walked in on us at different times, so we are very careful to lock the door. Even if we go to bed intending on going to sleep then start fooling around, one of us will get up and lock the door.
But, to me, as bad as that or maybe even worse is having a neighbor or relative walk in on you.
We have this very annoying neighbor. He thinks he is Fred Mertz. So, if he comes by to visit or stop in for something, he just lets himself in.
At our former home (we just moved), we had a door that led from the garage into our bedroom. On the outside wall of our garage, at the driveway, we had a keyless code entry box. This guy, don't know why, knew the code. So one afternoon, he came over, let himself into the garage, then into our bedroom. And yes, we were right in the middle of it. Had no kids at home, was the middle of the day. :rollseyes
Another time, before hubby and I were married, I was visiting him at his apartment and his bedroom door didn't lock. He had his brother staying with him at the time, and though the door was closed, though the brother knew we were in there together, and though he knew it wouldn't lock, he just came on in. The really shitty part was that he did it a total of three times over different occasions, so I truly believe he was just being an ass and trying to get a free show. We don't like this brother anymore, though for much more serious reasons than this.