Not trying to turn this into a discussion thread, but beyond the controversy with Rocco which we all know about, I was always interested in another claim. Apparently the director said in an interview that the stairwell scene (which depicted sex with dubious consent) was supposed to be unsimulated anal sex. Caroline had agreed to shoot it except the actor couldn't get an erection on the day of the shoot. Can you imagine if they had pulled that off? I'm not aware of any "mainstream" film has ever included unsimulated anal.
Here is a discussion about this topic with some references:
reddit.com/r/extramile/comments/5uilpn/has_an_actress_ever_had_unsimulated_anal_sex_in_a/df9ljm5/
Nymphomaniac had several anal scenes: one double penetration and two "regular" anal scenes that were actually an important plot point. However, these were done using porn doubles and some CGI magic.
Or at least so we are told...
River of Fundament also had an explicit anal (and scat) scene, but the actress was a known porn star (all actresses doing explicit scenes in this one were).
There are several movies with pegging (female to male anal with a dildo) such as The Band (pornstars?) and of course almost every gay explicit movie there is.
Some sources claim that 9 Songs had some "more explicit scenes" left on the cutting room floor that
might had contained anal. According to other rumors, the actress (Margo Stilley) also wanted to go bareback for the explicit scene, that is condom-less, but wasn't allowed to because the insurance wouldn't cover it. Of course, this might be (and probably is) just trolling.
There may be other scenes, but I can't recall them right now.