I'll work out in front of my kids but don't like it when my DH walks in the room and I'm in the middle of a workout - particularly if I'm doing a move where I'm less than graceful, lol. He never walks in when I'm doing something "pretty'!
The kids, though, they can watch, as long as there are no weights involved (I'd rather not chase down a squealing 2-year-old who just snatched my five pound weight and is running gleefully through the house with it). I figure I'm modeling good habits for them.
I do prefer to work out alone if possible, but in a house with four other people, it doesn't always happen that way.