Borachio and Margaret have an affair in Much Ado About Nothing. Borachio purposely times having sex with Margaret in view of a window as a part of Don John's plan to trick Claudio and Don Pedro into thinking that Hero has given her virginity to someone else while being engaged to Claudio. 

Margaret is Hero's servant, and the two are supposed to look somewhat similar, at least as much so that from behind and in the dark, you might think that Margaret is Hero. When Don John takes Don Pedro and Claudio to where Borachio and Margaret are, Borachio calls out Hero's name loud enough for them to hear. Thus, Claudio and Don Pedro think that Hero is the one having an affair with Borachio.

Margaret was not in on the scheme, so she is also tricked by Borachio. She is devastated when she finds out about her inadvertent involvement in Don John's plot. 

We do not really know if the two have feelings for each other, so you could say that they have a sexual relationship (if that is too blunt for you, you can just say they are having an affair).