This happens to Lupin and Fujiko, in Lupin III: The Secret of Twilight Gemini Just as they're getting started, Sadachiyo and his men burst into their hotel room to assassinate Lupin, forcing him to bail in his underwear; which leaves Fujiko stark naked with nothing but a bedsheet to defend herself!
Averted the second time 'round, which takes place in a Morrocan police station! Lupin scores.
Happens near the beginning of Vitamin. The protagonist's boyfriend forces himself onto her while they're in school, and a classmate sees them.
Yuugen Kaisha has a scene like this, in incident file 03. Detective Karino drops by Nagasuki's office to question him, not knowing things were heating up between Nagasuki and his secretary! So when he opens the door, he gets an eyefull, though the audience doesn't get to see anything.
Invoked in School Days (adapting a possible event from the original visual novel). Sekai's friend Nanami Kanroji and her sempai/boyfriend try to get some "quality time" in the middle of a school festival, so they end up having sex in the rest area booth. They're not interrupted but they are filmed by Otome's Girl Posse, who are such nasty bitches that they show the tape to the whole school. The upperclassmen think this is funny, but poor Nanami has an Heroic BSOD.
Double invoked, as almost immediately afterwards, we see that Makoto was caught on tape too... having sex with Otome. And this is how Sekai learns that, after she and Makoto cheated on Kotonoha, she is now the one cheated on.
The first part is expanded on in other media (namely, the game's Updated Re-release), and it's even worse. One: Nanami and her boyfriend weren't filmed by Otome's Girl Posse, but by Nanami's sempai and rival Chie Ashikaga; she releases the video out of spite against her.. Two: we see that they're actually quite kinky in regards to sex (into master/servant, sex roleplaying, etc.) No wonder poor Nanami completely shut down: not only she and her boyfriend were caught doing the deed, but their kinks were exposed to everyone in the school.
In From the New World, 12-year-olds Saki and Satoru end up engaging in what is basically sexual foreplay as a response to the stress of getting captured, as humans in their time have been conditioned to use sex to relieve tension, modeling after the society of Bonobo chimps. It is Saki herself (much to Satoru's frustration) that puts things to a halt upon remembering this, resolving that "we're not monkeys".
In Fushigi Yuugi, Suboshi needs to talk to his boss Nakago and goes into his tent. Nakago is having sex with his and Suboshi's fellow Seiryuu Senshi Soi...
In a chapter of Harry Potter and the Deathly Hallows, Ginny leads Harry to her bedroom (with the door closed) to give him a birthday present to "remember her by", and they begin to kiss very passionately, but are interrupted by Ron barging into the room. There are many stories that speculate that, had Ron not interrupted, Harry and Ginny would have had sex.
This trope probably scars Kagami for life in Stars Abovewhen she accidentally walks in on Tsukasa and Miyuki.
Empath in the Empath: The Luckiest Smurf story "Days Of Auld Lang Smurf" interrupts Papa Smurf's private moment inside the Imaginarium with a recreated fantasy version of his wife just as they were about to kiss. Of course, Empath doesn't know that this is what Papa Smurf was doing with his time away from the other Smurfs until he saw Papa Smurf in a bathrobe emerging from a Smurf house.
The Infinite Loops love to play this for laughs. Taken to an extreme where five separate people walk in on Spike and Rarity, apparently during the same loop, and react completely differently to the situation.
The Wrong Reflection has Fleet Admiral Riker call up Eleya to give her some info and orders right when she and her boyfriend are in the middle of foreplay.
In Cemetery Man, Francesco Dellamorte and his mystery woman make it on top of her husband's grave, at her request ("He would have liked to know.") Unfortunately, in this particular cemetery the dead are prone to rise seven days after burial - her husband digs his way out, catches them mid-act and promptly takes a bite out of his wife's arm, whereupon Francesco impales him with a cross.
The James Bond film Diamonds Are Forever has a scene where Bond (Sean Connery) takes Ms. Fanservice Plenty O'Toole back to his room where he gives the obligatory strip down so they can have sex but when she goes into the bed room to dispense with what little remains of her attire (high heels, flimsy see through pink panties and a fancy necklace) while Bond tosses her low cut purple satin dress on a chair and turns on a light... only to find himself being held at gunpoint by a bunch of mooks. The mooks then proceed to toss the basically naked Plenty out a window while she screams in humorous sexually humiliated protest, only to land in a pool, downgraded from Shameless Fanservice Girl to Reluctant Fanservice Girl.
Running Joke in Going the Distance too — from Dan DJ'ing Erin and Garrett's first hook-up, to her sister walking in on them having sex on her dinner table... and her husband eating a midnight snack to them walking in on her sister and her husband dry-humping.
In the Japanese movie The Eel, the protagonist finds his wife having intercourse with another man and kills him right then. He spends eight years in prison; his life right after release is the actual story.
Happens in the British film Sir Henry At Rawlinson End when in a flashback Seth Onetooth finds his wife Rosie carrying on with Henry's brother Humbert in the bushes. This leads to Humbert "accidentally" getting shot by Henry, and explains why his ghost cannot rest until it has found trousers.
In Schindlers List, Schindler is having sex with his mistress, when he's informed that his accountant, Stern, has been mistakenly put on the train that takes Jews to the death camps. Schindler manages to save him just in time.
In Make the Yuletide Gay, Gunn and Nathan are in Gunn's room stripping down to have some fun time, when Gunn's mom comes in to make sure the boys have enough sheets for their beds.
Friends with Benefits has Jamie's mom walking in on Dylan and Jamie in the middle of the act. They are more freaked out than she is.
In D.E.B.S., Amy and Lucy's relationship is exposed when the other members of D.E.B.S. burst in on them in bed together.
The end of Die Hard with a Vengeance involves the hero, John McClane, interrupting Simon, the villain, as he's about to get intimate with his wife. The normally stoic woman suddenly gets very angry at McClane.
Star Trek Into Darkness: Don't think Kirk can top Uhura interrupting his session with an Orion woman in her dorm room? Kirk sees your sexual shenanigans and raises you two Caitians who are annoyed Star Fleet is paging him.
Near the start of Brian de Palma's Body Double the unemployed actor hero goes home to find his girlfriend's clothes strewn around the apartment and thinks that she's planning something special for him. When he gets to the bedroom he finds out she got started without him and with someone else.
Friday the 13th (1980): Barry and Claudette have engaged in foreplay and Claudette's shirt is totally unbuttoned when Pamela Voorhees sneaks in on them. She kills Barry onscreen with a knife to the stomach and offscreen, Claudette in the neck.
Lolita (1997). Humbert is kissing his underage stepdaughter when a police car roars up on them, much to his alarm. Fortunately the cop is more interested in asking if they've seen another vehicle he's pursuing, and fails to realise what's going on.
Captain Armand Pahner walks in on two of his sergeants (Eva and Julian) in the Prince Roger series. Additionally, Julian deliberately arranges for this to happen to Roger and Despreaux on multiple occasions. By monitoring the biometrics in her combat suit (specifically pulse and blood pressure) he can tell when they are arguing and when they... aren't.
The last scene of episode one. With horrific and long-reaching consequences.
Played for Laughs when Jamie Lannister walks in on his brother at a brothel in Winterfell and tells him to hurry up, then proceeds to send in more prostitutes in order to hurry him up.
This almost becomes a Running Gag in season 4 when different people keep interrupting Prince Oberyn Martell to discuss politics when he's trying to set up an orgy in a brothel.
Played for Laughs in a The Big Bang Theory episode. Leonard was sleeping with a girl named Joyce Kim and was having sex with her when Sheldon decided to interrupt by knocking on the door. Leonard was thinking of ignoring him, but Sheldon knew he was being ignored. Sheldon then came in to remind Leonard of their Roommate Agreement. Due to its terms, Joyce decided to leave. This was actually a good thing for Leonard as she was a North Korean agent trying to get information about a project he was working for. He even admits Sheldon probably saved him from going to federal prison. Again, Played for Laughs, but still.
Friends: When Chandler and Monica first get together in London, Joey walks in on them. Monica hides under the sheets leaving Chandler to be forced to pretend to have A Date with Rosie Palms to throw Joey off. This trope then happens to the couple on several occasions over the next few months while they're trying to keep their relationship secret. Even after their relationship is official, they can still sometimes be victims of this trope. After they're married and decide to try having children, they get down to business in a hospital janitorial closet and are interrupted in the middle of the act by Monica's father walking in on them, traumatising all three of them.
An episode of Veronica Mars has an (adult) hacker's relationship with a student (minor) at the school being exposed by Veronica and her camera. She even says "It's satisfying to be the interruptus in somebody else's coitus."
Combat Hospital has Graham interrupting Simon and Rebecca at the undressing-and-foreplay stage with some pretty serious news for Simon. Rebecca hides, then slips out the back.
Boy Meets World had a comically extreme example: Cory and Topanga are about to consumate their marriage when the police burst to the hotel suite in and arrest them (because they inadvertently stole someone else's wedding thanks to Eric).
The Eureka episode "What Goes Around Comes Around" has Jack walk in on two amorous couples. The first time, it's Zoe and Lucas making out on his couch. The second time, it's Fargo going all the way in the middle of a serious electromagnetic disaster...
Chuck has Chuck and Sarah on the run in order to find Chuck's father, and finally look like they will resolve all that sexual tension after sharing a bed at a motel. Chuck steps into the bathroom to get a condom from his wallet, only to find out that Morgan has taken it and left an IOU note instead. He runs out to buy a new one only to be caught by Casey, who had tracked them down. When they get back to the room, Sarah is no longer there, having figured out something was up.
Rookie Blue has Sam and Andy being interrupted by Sam's boss. Since he is undercover and working for a very nasty drug dealer, this is quite serious and is Played for Drama.
In the pilot episode of 2 Broke Girls, Max breaks up with her boyfriend after she catches him cheating on her this way, clearing the way for Caroline to move in; in the second-season episode "And the New Boss", she walks in on Caroline and Andy.
In the Babylon 5Grand Finale, Emperor Vir Cotto is interrupted while in bed with two women. This is initially played for laughs, but quickly shifts to drama as he realizes that the visiting Ranger is delivering the news that Sheridan is about to die.
Buffy the Vampire Slayer. Happens several times with Xander walking in on Buffy — in "Intervention" (actually Spike screwing a Buffy Sex Bot), in "Gone" (Spike screwing the real Buffy, only she's been turned invisible so Xander just sees Spike acting very strangely) and "Him" (Buffy making out with Dawn's boyfriend on a school desk due to a love spell).
In the American version of Series/Shameless this happens a good deal to Fiona, mostly because she can't find much free time in her personal life because of her Promotion to Parent, so when she does have sex it's in awkward, semi-public locations.
Tone Loc's Wild Thing has the same thing happen (in this case the girl's mother interrupts them), but with more benign results:
I didn't know what to say; I was hanging by a string
She said "Hey, you two, I was once like you and I like(d?) to do the Wild Thing."
In the BBC production of Henry IV Part 1, Hal and Doll deliberately create one of these moments. They pretend to be getting hot and heavy so that when the sheriff walks in on them, Hal has a reasonable excuse for wanting to get rid of him as quickly as possible. They don't want him to search the house and arrest Falstaff.
Subverted in School Days. Kotonoha comes to Makoto's house while Makoto and Sekai are having sex and walks in on them. At first it seems like she caught them in the act, but then it's revealed that Makoto invited her there for a threesome.
As said above, a similar scene on a different route plays the trope straight, and leads directly to a bad ending.
In Ménage à 3, this is a Running Gag. Nearly every time Matt has sex, no matter with whom, someone walks in and interrupts him.
In Misfile Ash and Emily end up walking in on Kate and Harry having sex. Oddly enough Kate is only mildly embarrassed and glad that it was at least someone she knew. Ash on the other hand looks like she could use a jug of brain bleach.
The page picture is from Gunnerkrigg Court, where Kat and Annie walk in on Kat's parents just at the right time to avoid a Primal Scene. They resume intimacy when the kids leave.