After reading through all the posts in this thread, one thing is clear. Some people like to get to the sex part quickly, while some people like a slow build-up. Some people like back-of-the head banging against the wall rough-fucking, and some people like tender, sweet, love-making, sex. Some want lengthy character building, and some want to find out about the character through action.
I usually want to read, and I write, by first introducing the characters through their thoughts and motivations. Then on to the set-up for the sex, followed by hot and heavy action. But I did do one story with sex from the very first word (a masturbation scene), and it's one of my favorites.