Unfortunately (or hilariously!), I've got plenty of those...lol
My first "time": Japanese flatmate walked in on us, doing it on the sofa. She just went "OH!" and walked out again! We never learnt where she actually spent the night, given it was 11pm....
But the best I think, apart from the "people walking in while you're at it" thing, is when my ex and me tried to have sex in a back alley..Me sitting on a wheelie bin, him in front (Quite a tall guy...lol)..Well, the bin tipped forward, and I landed on him knees first....Result: dislocated shoulder (for him), VERY bruised balls (for him!) and horrendusly grazed knees (for me!). :O)