I Had Sex With My Friend's Ex-Girlfriend ! What Can I Do?

Depending on when they broke up, and if it is a permanent thing, then none of you should have a problem with it. But, if there is however the slightest chance that they would get back together, then I would tell your friend, and I would make sure that you stay away from the ex girlfriend, and let your friend sort this out for himself.
You sure wouldn't want him to find out down the road, and hate you for not telling him, that would be the same as telling him that you have no respect for him whatsoever. Hope this helps, good luck to you.

I guess he can be thankful that you didn't have his current girlfriend.

Just tell him...so if he  gets mad who cares it's his ex-girlfriend...

Follow your guts. Whether you do it or don't. Stick to your ideas and the person you really are. Don't risk being mad at yourself because you have regrets about what you did or didn't do. Stay congruent with who you are.