At some point during my research I was confronted with this problem, but I did not dedicate serious time to it. Anyway it stayed in the back of my mind and I'm still interested in hints for it. Application: asymptotic properties of Schroedinger equations, scattering.

You have two convex (compact, smooth, everything) disjoint sets in the plane. Consider a ray starting in the complement of the two sets and bouncing on the boundary of the sets in the usual way, with the ingoing and outgoing rays forming equal angles with the normal to the boundary. Q.: does it always exist a trapped ray which never leaves a ball containing the two sets? This can happen of course if the ray keeps bouncing forever between the two bodies. A trivial example is obtained if the sets have two parallel sides, and the ray is chosen perpendicular to both. Less trivial examples (even strictly convex) can be constructed by choosing a trajectory first, and then joining the dots (i.e., the turning points of the trajectory) with convex curves; with some work and some adjustments in the trajectory, you can produce plenty of examples.

But, is this always the case? given two arbitrary bodies, does it always exist a trapped ray?

EDIT (see Pietro's comment): I mean, another trapped ray besides the 'trivial' trapped ray bouncing between the closest points of the two sets (a general version of the trivial case mentioned above of two parallel sides).

EDIT 2 (quick summary of the discussion for the benefit of future readers): the answer is yes for smooth boundaries and large (in particular, with nonempty interior) sets of initial points. A continuity argument is enough to prove this. If the boundary is non smooth problems may arise. E.g. for two polygons with a couple of facing parallel sides, the only trapped ray is the periodic one.

PS in retrospect, the question was quite elementary, but I really enjoyed to discuss it here :)