I think you'd be better off not looking.

In my book what I do in my house is my business and if I didn't want people to see I'd be more careful not to be seen. As it is there house if they don't want to shut the shades that's there choice, it's your choice however to not look.

Is it not illegal to have sex in public view? (Yes)
They are committing a public offence! Regardless of the previous poster you CANNOT do what you want in your own house, especially if it effects the public. (You cannot take illegal drugs in your own house for example, its still an offence)

Anyway you could report them to the police, but as a good neighbour I would like to think you would discretely mention it to them, and remind them you and other neighbors find it offensive, and to please pull the shades.
Of course if they continue then your next step is to report them.

As you say they are most probably so excited in their relationship they are not thinking clearly.

Oh, and lucky neighbor lol.

In the case of Nebraska V. Metzger (I believe it was appealed to the federal courts, which affirmed the state supreme's decision), it was determined that an individual can be found guilty of indecent exposure while in his own home, provided that he was knowingly exposing himself to the public (the defendant was standing near a window naked). So, you may do what you want in your own home, but not if it effects those outside your home, in essence. If someone would see while passing by, or enjoying their own home, it is illegal.

As such, I would speculate that in your state, what they are doing is illegal. It is also immoral, as children may be exposed to it.

I would leave an anonymous letter in their mailbox, in case they are unaware that they can be seen. Maybe don't actually say that the neighborhood has been witnesses their sex on a regular basis, but spare their dignity a little by writing something like "very recently, it has come to the attention of several neighbors that your bedroom curtains are open at night, and your privacy is not being protected. For your own sake, and that of any children in the area, please consider closing your curtains."

If that doesn't work, you may assume they are actually doing this on purpose for kicks. In which case, contact the police.

I would absolutely say something!
Psst we can see you.

If the reaction is "OK cool we are both hoping for that!" Just watch TV on those nights. They may be the type to hope for and enjoy the fact that they are visible. They may be horrified to find out, but in any case they should know.