Luckily I have my own workout room. My hubby rarely comes in and interrupts me - the first time he came in, I was doing a Pilates roll-over and he exclaimed, "OMG - Should you be doing that!?!"
The second time, I was doing kickboxing with weighted gloves and he was scared off.
The third time, I had just finished yoga and was lying there in shavasana with my eyes closed. He came in to ask me something about the dinner which he was preparing, realised I didn't want to be disturbed, and figured out the issue on his own. Over dinner he said, "I came in to ask you, but you were doing something I don't understand" (a reference to the Tammy Wynette song "Stand By Your Man")
But he does realise that I feel a bit self-conscious about working out and respects that.