I've never jacked off in front of my dog (only pet I've had) because it just felt weird. Besides, I usually do it in the bathroom.
Back in high school, I was having sex with my then girlfriend on the floor of my bedroom. I thought I closed the door all way, but I guess I didn't. My dog came in the room, and my girlfriend was laying on the floor and I was on top. My dog walks over to her and starts licking her on the face. We had to stop for a minute and kick the dog out. That was pretty funny!