Yes, it happened twice to me, and both experiences are related with my grandfathers.
The first one happened when I was seven or eight years old. We had to bring my grandfather at the hospital ; I remember being in this hospital room with my mother, waiting for a nurse to give instructions. She finally arrived and told my grandfather he could rest in the bed and a doctor would come to visit him very soon. She also held a thermometer out to him saying he would also have to take his temperature. My grandfather didn't say anything and we just saw the thermometer disappearing under the bed sheet (it was in France in the middle of 90's so there was no doubt on where it had to go…).
The second experience was a lot more interesting. It happened to my other grandfather. I was 13 or 14 years old, I stayed with my grandparent's for a couple of days and at the very beginning of my stay, my grandpa caught a flu. He's a grumpy person - he was back then around 70 years old - and looked quite miserable in bed and wanted to stay in his room. I just asked him if he thought he had a fever but he replied negatively. My grandmother asked him another time if he was sure he didn't want to check his temperature, and she added that sometimes we do have fever even if we don't think so. He very reluctantly complied, and my grandmother took out a very old school rectal thermometer from a small drawer next to their bed. "Old school" means quite a large glass rod with a long silver tip, put in an dark orange plastic case, 60's style, made on purpose for thermometers judging from its shape.
She looked at it to make sure the mercury line was down, and gave it to him. I could see him grabbing it and moving around under the bed sheet in order to lower his PJ's trousers. The glass stick disappeared and he made faces that highlighted how uncomfortable it was for him. I don't know how it was in other families but we actually rarely used lubricant on rectal thermometers in my family. At some point, after a few seconds, he grumbled "God, I can't even make it make its way to my ass!" and then "ok, finally!".
I witnessed the scene from A to Z. I just went to the kitchen at some point to take a glass of water for him - as he asked me - and when I came back he was glancing at his watch, waiting for the appropriate moment to remove the intrusive device from his rear end. He pulled it out of his rectum, read it and said "37,5, no fever!". I thought how it might have been infuriating for him to force himself to take a rectal temperature and at the end just realize he had no fever. The day after, he said he took something to fight fever because he had an almost 39° temperature when he went to bed, but I didn't have the chance to witness the second temperature taking scene.