What to do when someone walks in on you in your underwear?
The classic options are to either feign shock and dismay, attempt to conceal your shock and dismay with politesse or take off said underwear and waggle your eyebrows (or other anatomy) suggestively.
Lately, though, the popular response seems to be record a sex video while tweeting your boredom with the whole situation. That a video still is thereafter your profile pic on half your social networking sites is another matter entirely.
There exists a middle way: pretend you lived in seventeenth century Europe.
As dangerous as it is to ever suggest that (spoiler- you have the pox and don't bathe), indulge me.
When the first popular prints of women in only their dressing gowns and the barest traces of makeup began making the rounds, many were outraged at how lewd they were. Even more, though, were enthralled seeing the highly stylized and culturally constructed women of the day slightly less than perfect. The popularity stemmed from the touch of personhood restored to the subject by showing that they, too, had to have their servants help them into their petticoats one leg at a time.
The breach of etiquette the artist, subject and viewer shared let them each have a little naughty moment together without any of them risking embarrassment; everyone was in on it. You could be coy and innocent while simultaneously standing there in your frilly underthings.
Ever since, deshabille has been a constant part of western visual culture, and parallel trends can be found around the world because it's appealing and enjoyable to let the mask slip. After all, the fun thing about the virgin/whore dichotomy is the tension in the middle.
When someone walks in on you in your underwear, do endeavor to provide a better option (nsfw).