I don't think I write sex terribly well: I'm often concerned that it's too clinical, when I write it, and not passionate enough. Having said that, I was fairly pleased with the scene following chapter one of American Gods, with Balquis and her client, and Shadow's dream of Bast in the same book. There's a story called "Tastings" in Smoke and Mirrors which is one long sex scene and conversation, and there's a smattering of sex in several other stories in Smoke and Mirrors (the UK version also contains "Eaten", which is a treatment for a pornographic horror film in iambic pentameter, and "How Do You Think It Feels?", which has some sex in, neither of which are in the US edition).
There are some pretty good literary sex collections out there you might want to check out -- Susie Bright edits The Best American Erotica series, and Maxim Jakubowski edits the Mammoth Erotica series, and they find interesting authors and bits. My favourite writers of sex scenes are probably Alice Joanou and the late Kathy Acker (who would often take porn as a text to work into).
Hope this helps.