Sex music is one of those things that's hard to sometimes define. What's sexy to one person might not be sexy to another. So basically, I'm listing my favorites and either people will get it or not.
First of all, I noticed somebody already listed Mezzanine by Massive Attack, which was genius! I'll also recommend their albums Protection and Blue Lines. First time I ever had a guy over, Protection was the first album I put on and he was impressed. Honestly, any good trip hop is good for sex (Portishead, the first Esthero album, Tricky, ect...)
Okay moving onto my next favorite which is Depeche Mode. I'll be honest, they have four albums that are pretty good, dark and sexy... Black Celebration, Violator, Songs of Faith and Devotion, and Ultra. It just all depends on what sort of mood you're going for. Ultra is chilled, Violator is darkly delicious, SOFAD is rocking with a kinky twist (listen to In Your Room and you'll understand), and Black Celebration is just quiet, dark and moody (besides who can resist "Stripped").
Now I noticed some chatter about Nine Inch Nails. While yes "Closer" seems like an obviously give away, I think they have sexier songs. Their cover of Adam Ants' "Physical" and Queen's "Get Down, Make Love" are both pretty hot. I also love certain songs from Year Zero, The Slip, The Fragile, With Teeth and Pretty Hate Machine. So I suppose if you're going to play them, don't settle for just one album. You probably want to make a mix.
I also noticed somebody mentioned JAMC's The Darklands. That was pretty awesome. I would even say Psychocandy would be a good one. Along the same lines as JAMC, I would totally include The Cure's Disintegration on this list. The album has some pretty choice moments. Dark, atmospheric and rather eerie. Another album that comes to mind from a similar era is My Bloody Valentine's Loveless. My friend says it's a good one. But I haven't tried it yet.
As for other albums/artists... Interpol's Turn on the Bright Lights has some choice moments. I would even dare to suggest The Smiths Singles Collection or U2's Achtung Baby. And then you have typical fare such as Prince and Sade. I also think Leonard Cohen has some pretty sensual moments too.
Oh last one I thought of was The Last Temptation of Christ soundtrack. I'm surprised that nobody has mentioned this one yet. When I was in high school, a friend of mine told me that he swore by it. Sure it may be "world music" but it has some pretty cool power to it.