The trilogy by Jacqueline Carey (Kushiel's Dart, Kushiel's Chosen, Kushiel's Avatar) are beautifully written books set in an alternative middle-age (ish) history. Phedre, the protagonist, is pricked by Kushiel's dart, and "forever condemned to experience pain and pleasure as one." The sex is woven beautifully and skilfully through the story, and actually drives the story forward--never gratuitous, always with a purpose. A long read, but an exceptional one.