In more than 20 years and more hotel nights I care to think about, I have been in that situation a few times, I can distinctly remember at least two incidents.

In the first (a hotel in Burnaby, BC), I walked in on an elderly couple with my wife in tow. We actually chatted for about 5 minutes before we tracked back to the lobby with plans to do something unpleasant to the front desk clerk responsible.

Second situation, a hotel near LAX, I walked in on a sleeping person (1 am) - and went out very quickly and quietly.

I always bolt and lock my door - and even though I am a sound sleeper I can remember quite a number of times that somebody did try my door. If you stay in a European hotel that still uses real keys, chances are that you use the same key to lock the room from the inside. If so: leave the key in for obvious security reasons, but rotate it 90 degrees from the position in which you can remove it. This will lock out all other keys tried from the outside - for the vast majority of locks.