I've tried responding to this question half a dozen times now and then
deleted each response because it wasn't quite right.
I think I find characters in erotic fiction "sexy" purely because of
the way and the circumstances in which they are written. The majority of us
(as characters outside fiction) shroud our sexualness with the mundanity of
civilised repression. The characters in erotic fiction are usually
presented with their souls (and other things) bared for inspection and
examination. This (in my opinion) makes them inherently sexy because
they are showing an aspect of their character that we seldom get to see
except with those whom we have been/are being intimate. By the fact that we
are presented with a character's innermost thoughts and private sexual
aspirations, we (the readers) are also seduced and aroused.
I hope this answer makes sense ;-)
KB: Ashley is another reviewer from Erotica Revealed. Be sure to check out Swingers: True Confessions from Today's Modern Swinging Scene