While standard movie technique is to suggest by clever positioning of the camera and careful scene setup that sex is taking place, there have always been rumours of more. These are hard to verify but plausible. For example, Last Tango in Paris was rumoured to have some real sex as was Don't Look Now.
But mainstream censorship rules in many countries would have prevented any possible verification of this in the released footage as, if the movie were explicit enough to see real sexual acts such as penetration, it would automatically receive a pornography classification.
But some censors have been getting a lot more relaxed recently. In 2004 the BBFC (the british film classification body) approved a mainstream release (18 certificate, so nobody can see it under the age of 18) of 9 Songs, a movie by the mainstream (if a bit arthouse) british director Michael Winterbottom. In 9 Songs the actors really did have sex on set and the movie is explicit enough to see this. The movie was controversial (see this Guardian story written before release) at the time, but possible less so than expected. More surprisingly, it isn't very erotic as the lack of subtlety in the sex scenes seems to neutralise their effect (for example, see this Guardian review).
What 9 Songs proves is that, sometimes, people really are having sex in the movie. But there is little correlation between the reality and the erotic power of the scenes.