Done the wrong way, she'll be grossed out (think: cheesy lingerie from Fredrick's of Hollywood). But done the right way, a sexy gift can be unexpected and exciting, and liven things up well into the New Year.
How sexy you go depends on the woman. If she leans toward the tamer side, buy her some romantic, lacy lingerie from Agent Provocateur. Something like this. If she's more adventurous, get her something a little less lacy and a little more racy. And, a toy to play with while she's wearing it.
Leave a witty little note about her being on Santa's naughty list, and prepare to enjoy the holiday more than ever before.