People in the next room in my hotel are having noisy sex; I can't sleep! What to do?

I believe, all jokes aside, you have four options:

1. Try to ignore it. Obviously, you're trying this already and it's not working. But you could turn the tv on, listen to some music, or take a sleeping tablet if you have one.
2. Passive aggressive behaviour. Turn the tv or music up really loudly. Bang on the wall. Hope they'll take the hint. Cheer them on! Decide to take delight in exacting your own form of personal revenge on your neighbours. Order them some food!

3. Indirect/Direct confrontation. You could yell at them to shut up, that people are trying to sleep, but I've seen this be ignored even in dorms. You could go around to their room (since you've tried the phone) and knock on the door, and explain the situation and that they're being unreasonably loud - they may not even realise that the sound is carrying that well! (from homesandproperty.co.uk)

4. Use the resources available to you in a nice hotel - call reception. Tell them that you called before and nothing happened, that it's still going on and that they're banging on the wall (you don't need to say what you think is happening, just that the effect is keeping you up), and will they please send someone to knock on the door and tell them there's been a complaint.

More than likely, 3 and 4 are your best bets for a quick response, and #4 is the most likely to keep you calm - a bad confrontation while you're overtired (ala #3) may not be the best thing for you.

Well you can always do "The Thin Wall Challenge":

- Thin Wall Challenge

I guess it can keep you busy while you wait for them to finish. Or you can call reception and tell them that it seems someone is being attacked on the other room because of all the screaming ;). That worked me one or two times...