I've been caught several times.
Once my ex and I were having sex on the floor because the bed was squeaky and my parents were sleeping in the room next to mine. We wanted to be considerate. We didn't, however, take my brother into consideration. He decides he wants to show us something, throws the door open, spots my boyfriend in mid-hump and screams, "OH MY GOD!" like a little girl. My ex rolls off of me on to the bed and I jump up off the floor, fling on a bathrobe and go to chew my bro out. My bro is now running down the stairs, yelling, "I'm sorry! I'm sorry! I'm so sorry!" Meanwhile, all the noise has woken my soundly sleeping parents, and my mom thinks someone has been hurt. So they come out of their room ready to call the ambulance and I have to explain that no, we were just having sex. My brother got a serious chewing from my mother--she ripped him good about knocking before entering. Needless to say he still hasn't learned his lesson, and has since then walked in on me masturbating (as I do this fully clothed and have good reflexes, he is none the wiser).
I've also been walked in on by a roommate. The same boyfriend from above and I were going at it in my dorm room when my roommate walked in...she saw him naked and quickly walked out...he put his clothes on and left...then I had to attempt and apologize to a girl who spoke very little English...really hard, that...from then on we had sex up against the door.
Made it easier.