It's always kind of weird when they're in the room. Sometimes I have no problem with it, and sometimes it weirds me out.
When I was in high school my dog would never leave the room, and would always watch intently. That was always really weird.
I also once lived in an apartment where you could hear EVERYTHING your neighbors did. Once I heard the upstairs neighbors getting it on, then a loud barking, and a guy shrieking. I can only imagine what happened, but I'm sure that dog was never allowed in the room again.