Oddly enough, it's happened more often not in the shower. I think I've had sex while on the rag in the shower maybe.... twice? Not sure. Usually it's in bed or on a couch. No big deal if there's a mess, just change the sheets.
That's only one part of it though. The other mess-related benefit that when it gets on you it makes for quick and easy post-coital cleanup because you're already in the shower.