Personally, I think if you're afraid to broach the subject face to face with him, then the answer might be to write a letter. I've found in the past that this can often help with situations where people know they're in the wrong and just try to talk over you, or negate your feelings when talking face to face. Perhaps you could say something along the lines of -
Dear FIL
When you first lost MIL and started coming round and letting yourself in with our spare key, I didn't like to say that I actually found it a bit intrusive, as I knew that you must be upset and lonely, and wanted you always to feel welcome, but over the years it's become a habit, and when you told me the other day about showing John our bathroom without even asking if it was OK, it made me realise that it's time that we had a talk about boundaries. I've actually found you letting yourself in over the years quite awkward and embarrassing at times, as I've always been worried that you'd catch me running around starkers, or catch me and DH in the act (if you know what I mean), and now that the kids are getting toward their teens, I think it might be a good time to change things. So, for future reference please can you just give us a call to check we're free before visiting, as that way, we can let you know if it's not convenient. You are of course always welcome, but now the kids are growing up and capable of amusing themselves, I'd really like to have a bit of a lay in on a weekend, something I can't do if you just turn up. I hope you don't mind me bringing the subject up, and as you can tell, by the fact that I'm writing rather than speaking face to face, I do feel really awkward about it, but I just need to feel that my house is my own and by setting boundaries everyone knows where they stand.
Obviously feel free to change any of the above. Then if he still turns up without warning, the very first time he does it say 'Oh didn't you read the letter I sent you FIL, only I did ask you to call before popping round?' Then if he starts to bluster, you could say, 'look, I told you I found this difficult to discuss face to face, but if you insist on letting yourself in, then I'm afraid I'm going to have to ask you to return my key'!!
Hope this helps, and of course, it is just a suggestion, but one that I feel might solve the problem for you.