George Lucas did say the Jedi were not necessarily celibate. "Jedi Knights aren't celibate - the thing that is forbidden is attachments - and possessive relationships" (BBC News Article). However, this statement does seem to cause a bit of incontinuity within the movies and story-line.
Most obviously, if the Jedi were allowed to have sex, why would Anakin have gotten expelled for getting Padme pregnant?
If the council finds out that you're the father, you'll be expelled.
Padme, Revenge of the Sith
He would have had to keep their marriage secret, but it does not make sense that he would have to hide the fact that they were having children.
Furthermore, the Jedi are the religious group of the Star Wars world, and most religions consider casual/unmarried sex immoral (Christianity, Judaism, Islam, to name a few of the big ones). And the Jedi seem to be even more radical than most religious, forbidding even attachment, possession, and love. The Jedi value selflessness, purity, discipline, and self-control, none of which are exactly exhibited in sleeping with someone just to satisfy your sexual urges.
There are also a lot of parallels between the Jedi and Christian monks, who are not allowed to marry or have sexual relations, or own many possessions, or experience many earthly pleasures. (A lot about the Jedi seems to have been inspired by Christianity: Anakin's spiritual conception, the phrase "May the Force be with you," etc.)
All in all, it seems (at least, I believe) the story would make more sense and have less plot-holes if the Jedi were required to be celibate. However, George Lucas is the creator of these films and the Jedi, so it would not be fair to disregard his input on the matter.
I think there is a sort of middle-ground, a compromise, in this issue. So, the Jedi were not specifically forced to be celibate. They were not required to take a vowel of celibacy, like monks are, and there was no specific rule in the Jedi Code forbidding sex. However, it seems Jedi celibacy was almost implied by other rules, like the forbidding of attachment, and possession, and intimate relationships, and love. It could be difficult to participate in sexual activities with someone without getting at least a little attached to him/her. Not impossible, of course, but does it seem like something the Jedi would want to risk?
So, did all of the Jedi abstain from having sex? Maybe not, but based on the information and hints presented in the movies, it seems they likely did.