Yeah, when they're really little, they don't care who is naked. When they get to be teenagers, they don't want to see their parents naked. :) But, showing them at a young age that it's okay to be naked may give them a healthier body image later on, even if they want their parents to cover up.
I saw an interview with Alexander Skarsgaard (from "True Blood") on TV a few years ago, and he said he and his brother grew up with a dad who went around naked a lot. They didn't mind until they got old enough to start bringing girlfriends home, and then they asked their dad to start wearing clothes, at least when they had company!