My supervisor accidentally forwarded some private e-mail communication to me. What to do?
This happened to me on two occasions, one of which would have been personally and professionally embarrassing to my advisor, or worse. 

I had a pretty good relationship with him, and it was very clear the content wasn't meant for me, so perhaps my situation was slightly different, but I said something to the effect of:

'Woah, looks like the horse left the barn on this one. Glad it was just to me!'

In doing this, I admit I understand the embarrassing/sensitive material, but make clear that I appreciate it was a mistake, and also give him piece of mind that I am a safe confidant that can keep something to himself.