I do it all the time for features. We have a bi-monthly magazine that we publish in addition to the paper and I'm usually tasked with one feature for it. It's often the type of story that benefits from a long-form interview and pictures that are better taken at their house because of the subject matter.
I also had a football coach who told me to come to his house after a game. I was leaving one game, he'd already left his, and his house was on my way back to the office so if I had a few extra minutes on deadline it was easier to stop in for 10 minutes and get everything I needed.
As far as an ambush interview like this, though? Only done it once.
We had an old football coach who decided he'd had enough of this shirt and turned in his letter of resignation at 10 a.m. on a Friday. His team had a road game at 7 p.m. We got word of it around 1 or 2 p.m. I tried calling him several times and got no answer. A couple of times I zoned out, expecting the machine to pick up, and it must have rang 20 times before I gave up.
One of our news reporters was his neighbor, and when he left for the day around 4 I asked him to call if he saw the guy was home. The coach was at home and it was almost time for me to leave to cover the game, so with no time left I went to his house and knocked on his door. He answered and we did the interview.
His first words to me, though, were, "Why did you let that damn phone ring so long!?"