One of the most famous cases of incest was in Medieval England was Queen Anne Boleyn being charged of incest with her brother, George. Of course, incest was against the church and often led to similar arrests or executions (source). The Royal English bloodline had many cases of incest. If you observe Asia, Japan and Korea had many cases of Royal incest, much like the Targaryens, in order to maintain the royal bloodline pure. (Source). For example, Emperor Bidatsu of Japan married his half sister, and in Korea we saw Gwangjong, monach of the Goryeo dynasty, marry his half sister as well.