Ok, they didn't have sex hundreds of thousands of miles away from the Earth. However, in 2002, three NASA interns found and stole moon rocks that were stored in a safe at the Johnson Space Center lab in Houston. They later tried to sell them online, and with the help of a Belgian rock collector, the FBI went on their trace and eventually caught them.
The most curious part of the story is that the thieves sprinkled the moon rocks on a bed and had sex on it! We can only speculate that they were probably drunk and thought it would be "awesome" to have sex on the moon. However, it's all fun and games until you contaminate the moon rocks to the point where they're unusable to the scientific community, which is exactly what happened.