Pre-television example: Richard Wagner's opera Die Walküre ("The Valkyrie", premiered in 1870), second of four operas in his Ring Cycle, involving siblings Siegmund and Sieglinde. Siegfried, the hero of the third and fourth operas in the cycle, is their child. This case is perhaps different from both the anime versions as well as most western versions. Though their love does end in tragedy, the tragedy is due to the fact that Sieglinde is already married to someone else, and not particularly associated with the fact that the Siegmund-Sieglinde relationship is incestuous.
Another example of incest is the relationship of Siegfried and Brünnhilde, since Brünnhilde is Wotan's daughter (by Erda) and thus Siegfried's aunt by blood. But that's the beauty of Grand Opera: you can do anything, so long as you sing it!
This was a major theme in "revenge tragedies" of the 1600s, which basically aimed to contain as much violence and as many illicit relationships as they could. In The Duchess of Malfi for example, Duke Ferdinand has obsessive subconscious feelings for his sister, the titular character, which he never fully realizes and eventually drive him insane. Cheerful stuff.
The Courier's Tragedy, a fictional "ill, ill Jacobean revenge play" featured in Thomas Pynchon's The Crying of Lot 49, has a fair amount of this among the villains.
Subverted in A King and No King, where Arbaces thinks he wants to seduce the sister he hasn't seen since childhood, blames the regent he left behind to protect her for this, decides to murder the regent then seduce his sister then kill himself — but then it turns out she wasn't ever his sister after all (through a typically Jacobean complex reveal), so it's okay if they marry.
'Tis Pity She's a Whore (another 1600s drama) Annabella and Giovanni, not having seen one another since they were young, fight their attraction and seem to have a good deal of wangst over it for a while...but only for a while. John Ford, the author of Tis Pity seems to have been mildly fascinated with the concept: in The Broken Heart, Ithocles forcibly marries his sister Penthea to the insanely jealous Bassanes, who soon suspects her of cheating on him with everyone, including, eventually, Ithocles himself. They're not doing it, (any more than Ophelia and Laertes, jeez...) but Ithocles IS very controlling of Penthea's sexuality...
Some interpretations of Hamlet will portray Ophelia and Laertes as either: A) lusting after one another, or B) already sleeping with one another. This is mostly common in psychoanalytic interpretations of the play, which also portray Hamlet as having an Oedipus Complex.
Meaning Hamlet is hostile to his father and attracted to his mother.
In the Stephen Sondheim musical Road Show, the subtext between Addison and Wilson Mizner just barely manages to remain "sub". Sharing a sleeping bag in the middle of an Alaska blizzard? Well, it's cold out there (though that doesn't explain the snuggling). Singing about "Brotherly Love" while in said sleeping bag? That's perfectly innocent and only the most dirty-minded spectator would read anything sexual into it. But when Wilson says in the middle of a fight with Addison "How about a farewell kiss from your brother?" and tries to kiss him on the mouth... and when he seems distinctly jealous of Addison's boyfriend... and when the climax of the show turns on Addison telling Wilson to get out of his life because he's ruined everything, to which Wilson nonchalantly responds "You don't want me to go. You love me." and Addison bursts out: "All right! I love you! Does that make us even?"... well, you know what they say: it's only subtext if it's subtle.
Lawrence and Joanna Brown in Lanford Wilson's one act play Home Free. The fact that they're incestuous siblings is actually one of the less worrisome things about their relationship.
In Bat Boy: the Musical, this trope plays a major role when it is revealed that Edgar and Shelley, who have just confessed their love for each other and had sex, are fraternal twins.
In Sam Shepard's Fool for Love, the main characters are on-again/off-again lovers who are ultimately revealed to be half-siblings.
In the Australian play The Club, Geoff reveals to a member of his team's committee that he slept with his double-amputee sister and then his mother, resulting in his father shooting himself immediately afterward. The squick is slightly reduced by the reveal that this story was a complete lie, in spite of being partly shown in a fake flashback.
Tom and Laura seem a bit too into each other in The Glass Menagerie. And then later Jim implies he sees Laura as a sister...then slow dances with and kisses her. The revival especially hinted at this, which is openly mocked here
In Andrew Lippa's The Wild Party, Oscar and Phil d'Armano are explicitly described in the script as being "both brothers and lovers."
The 1779 German play Nathan der Weise ("Nathan the Wise Man") by Lessing features a crusader who falls for Nathan's adopted daughter at first sight. In the end it turns out she is his sister and they were separated at birth.