I feel really bad asking about this, but do you think I should tell my parents about what happened? My sister and I have always been close (we're twins) and spent a lot of time together. We sleep in the same room but in different beds, but recently we have been sleeping in the same bed and doing things that I am ashamed of. The first time we hugged each other while wearing only our underwear, I felt her private parts, and we kissed each other a lot. It got more serious after that and last night we did it. I'm afraid she's pregnant because I didn't wear a condom and I went into her and we both fell asleep after that. I'm afraid of what my parents will say to us if they find out because I know what we did is really wrong, but it didn't feel wrong when we were doing it. I feel like I could spend the rest of my life with my sister and even marry her even though I don't think that's legal. I am so confused.
The reason you feel bad is because you know that what you did was wrong. What you did the first time is called "lewdness" in the Bible. It is when you behave in a inappropriate sexual way with someone else. You had no business touching her genitals or she yours. "Let us walk properly, as in the day, not in revelry and drunkenness, not in lewdness and lust, not in strife and envy. But put on the Lord Jesus Christ, and make no provision for the flesh, to fulfill its lusts" (Romans 13:13-14).
Because you did not stop this sin, it progressed to fornication when you put your penis into her. "Do you not know that the unrighteous will not inherit the kingdom of God? Do not be deceived. Neither fornicators, nor idolaters, nor adulterers, nor homosexuals, nor sodomites, nor thieves, nor covetous, nor drunkards, nor revilers, nor extortioners will inherit the kingdom of God" (I Corinthians 6:9-10). Sure, at the moment you were involved in sex, it seemed fun and "right" but that was because you were sexually aroused and the judgment centers of your brain go off line when you are in the middle of sexual passion. This particular type of fornication is also called incest because you were having sex with a close family member.
The reason incest is forbidden and why you cannot marry your sister is because the possibility of genetic disease in any children you might conceive is very high. In other words you would be condemning your own children to lives of pain and sufferring simply because you wanted sexual fun.
Whether your sister ends up pregnant depends on several factors. The odds are highest when sex takes place 20 to 14 days before her next period starts. You won't know for sure until two weeks after her next period is missed.
I don't know how old you are, but your parents made a mistake having you and your sister share a room for so long. Brothers and sisters should not be sleeping in the same room, especially when they are close to puberty. Few teenagers know how to practice self-control when it comes to sexual matters because it is too new to them.
But in answer to your question, yes, you need to tell your parents. Changes have to be made so you two don't continue to sin. I have no idea how your parents will take the news since I don't know them. I imagine that things will get quite heated for a while. Even though you know it is coming, you need to tell them anyway. If nothing else, consider it a just consequence for your sin. Meanwhile, I hope you and I can continue to talk. Sex is an adult behavior that is supposed to be reserved solely for husbands and wives. When a teenager begins getting involved in adult behavior, he has a LOT of growing up to to do quickly because adult behaviors bring with them adult consequences.