Yeah, its not a big deal if they still have their clothes on. Though, if you were a teen (or older) and caught your parents like that? That would suck. (Regardless if they're clothed or not).
For some reason, I always had manners. If parents' door was shut, I knocked, or simply left them be. My baby sister, well, she got scarred for life when she was probably 17-ish? heh heh