Seriously, are you directly talking about brother sister incest, or close relatives, which may be legal in some cases although not recommended over multiple generations.

I mean the ancient Egyptians were famous for it as a means to consolidate royal power through a managed succession. Whether brother-sister or uncle/niece.

If we talk about more recently, there is always the Hapsburgs. This was more about cousins or uncles-nieces. It wasn't always as unsuccessful as the Hapsburgs, others permitting more of a mix.

The thing is that all of this was about the consolidation of power and was organised and encouraged by the families. If we talk about "recreational incest", that is another matter. I don't even think we "know" what Caligula did with Drusilla?

Edit: Just to add to the Caligula thing. I seem to remember that it was Cicero Suetonius who tells us but more as a gossip than a historian. Personally, I would have thought that this sort of thing would have been less likely amongst nobility than common people as with nobility, there would often be witnesses (servants).