A little disclaimer: I cannot justify condemning erotica, sexually explicit material, or pornography just because its history in Western culture has been fucked-up and somewhat linked to a generally sexist culture. If you think that any sexually explicit material should be wiped off the Earth, stop reading this now.
The principal source of interest in sexually explicit comics is, for me, the gap between them and photo or video-based pornography. If you take the actual human model out of erotica you remove a lot of objectionable content because there is an extra layer of cultural transmission in-between you and the "sexual subject." If you are jacking off to a cartoon, there is no person being reduced to a sex object, just your own response to a set of lines on a page (sort of like the gap between literature and photography).
Anyway, there are a large number of smutty comics. These titles vary in both aesthetic quality and sexual content, so widely in fact that I'll stick to just those that are worth a damn and avoid wasting a lot of time and space. To make things easier, I've lumped them into three groups. The first of these includes comics that have sex in them, but are written to tell a story and entertain on levels other than sexual. The overall quality here is relatively high.
Omaha, the Cat Dancer (Kitchen Sink/Fantagraphics) -- anthropomorphic animals in complex contemporary interactions, centered around a cat named Omaha who's a stripper. A rare book with a female co-creator (Kate Worley).
The Great Adventure, Shorts (catalan) -- Italian fantasist Milo Manara has two general categories of work, both beautifully rendered, but with varying levels of sexual focus. The Guiseppe Bergman adventures are especially complex and cool.
I Want to Be Your Dog (Eros) -- Ho Che Anderson's blasted visual style tells a strange tale that seems to come from a Bukowski nightmare (only African-American), beautiful.
Melody (Kitchen Sink) -- Another stripper story, this one with human characters, set in Quebec. Very un-sexy sex.
Little Ego (catalan) Beautifully rendered sex spoof on Little Nemo figuring some dream therapy stuff into the mix.
Another group of sexually explicit comics come from creators outside the US whose work is sanctioned within their own culture because the sexual mores are somewhat less restrictive than in the US. There are two main types:
Post-Heavy Metal European Fantasists. As mentioned above, Milo Manara's material is uniformly great (see more trashy Click or Butterscotch) and he's joined by these guys who all got their work published in the original (French language) version of Heavy Metal: Guido Crepax, Liberatore, Bilal, Pichard, Schultheiss, Fernandez, and the list goes on. Most of these guys are French, Italian, or Spanish.
Japanese Neo-Perversion Comics. For whatever reason, Japanese comics are uniformly focused on bondage, rape, lesbian teens, and dramatic sexual violence (sometimes graphic). Still, there are a few titles worth checking out, for the novelty if nothing else: Bondage Fairies (just what it sounds like), Amazing Strip (twentysomething teen rock band stuff), and A Bomb (anthology) all give an overview of pure Japanasmut. For something a bit more mature (and incredibly violent) try out Crying Freeman, a big action adventure thing with pretty high sex content -- amazingly drawn.
The third group is plain old smut, all flavors and colors -- totally vapid and prurient comics with a lot of sex that just happen to be well-made: Cherry (Kitchen Sink) -- Spoof on Archie-style with a good visual style rip-off. Really vapid, but occasionally funny.
Black Kiss (Vortex) -- Howard Chaykin's noir-hero vampire sex thriller, almost a plotline, really well-drawn, been re-printed a lot.
Birdland (Eros) -- Ever read Love and Rockets? Imagine if Gilbert's stories got to be really sexually explicit -- that's it. Ironic and goofy highly stylized smut, pretty cool.
Doll (Rip Off Press) -- Relatively scathing story of people's response to an inflatable doll who moves through various social circles inspiring different responses.
Rascals in Paradise (Dark Horse) -- Almost not smut, highly stylized pastiche on 30's glamor in a science-fiction context.
XXXenophile (Palliard) -- Phil Foglio's relatively funny and not moronic sex with aliens/demons/monsters comic. Comic-y and good.
Many of these titles are hard to find -- shop owners have to be really careful because many of their customers are kids. Someone was arrested in a sting operation in Greensboro recently for selling a sexually graphic comic to a minor. If this is something you are interested in pursuing, you'll have to be willing to approach store clerks about finding "adult" material or do the mail order thing.