Yes I did and moreover it was my first real sexual experience with my gf/wife - aside from one night of very serious groping and petting in the car.
My parents and belated siblings were away for the day, it was a Sunday in June and hence good weather, sunny and that afternoon my gf came over with the more or less certain knowledge that today would be the Big Day. I forget what I said to set up the afternoon, but it was a very obvious invitation to have (the Real McCoy kind of) sex.
I had a single bed in my bedroom, my parents a double bed with a bathroom off to the side. I suppose I thought the choice obvious: the big double bed. We didn't pull the covering down or get under the sheets. The bedcover was some sort of imitation furry material, almost white, very soft and comfortable. So, even though it was my first time (not my gf's) I didn't want any of that under the sheets stuff, lights out and all that shyness stuff.
It was a very nice afternoon, and even though she'd had more experience with the old-fashioned in-and-out, it was her first time getting and giving oral sex. It was my first time for all of it, though my gf didn't know it then. We didn't progress to the fingers up the anus until some time later, but it didn't take that long either.
We (and I) only had sex once in my parents bed. But as a first time, it does give nice memories, especially as everything went very well. I think we had something like a 2 hour session and afterwards washed up together in my parents bathroom.