Hmm, when I think sexy songs, these come to mind:
"Brena," "Thinking of You," and "Hollow" by A Perfect Circle (the latter are a bit more naughty)
"In My Room" by Incubus (DEFINITELY this one)
"F.E.E.L.I.N.G.C.A.L.L.E.D.L.O.V.E" and "Pencil Skirt" by Pulp (actually anything by Pulp)
"There is a Light that Never Goes Out" by The Smiths (don't know why I associate it with sex...probably because Morrissey, himself, is pure sex)
"At My Most Beautiful" by REM
Kind of a strange list, but I have a CD I made of my idea of mood songs, and that's part of the playlist of it.