I told my sister about my interest and involvement in bdsm. My sister and I have always been close, and while I wasn't sure of her reaction, I knew that she'd be supportive. I sat down with her one day and just sort of blurted the whole thing out. One I'd started talking, I didn't really stop, though I refrained from sharing many details. She was just as supportive as I knew she'd be.
That said, I don't think I'd tell any other members of my family.