Movies where the actors have actual sex on set are few and far between: But there are a few! In the industry, these scenes are known as "unsimulated sex scenes" and are usually included to add an extra intimate dimension and authenticity to an erotic scene.
However, many films struggle to break the taboo and feature these type of scenes while still maintaining a high profile and even cinematic integrity.
There is a list of movies on Wikipedia that feature unsimulated sex scenes, but the only one I can think of in recent times is Lars Von Trier's Antichrist..
As if to prove the point of critics that say sex scenes of this nature are simply used for "shock value", his production was called the "most shocking film ever shown at Cannes film festival".
All you have to do is check out the YouTube comments to see how the general public received this film, with one user kindly sharing his opinion that "this is a porn".
While it might not be pornographic just for the sake of it, it's also hardly a movie we will be talking about in 10 years time, so the shock element is fairly short lived.