Notable Examples: Superman (1978), Coneheads (1993), Species (1995)
When you think about it, aliens have received much play in the movies. Lois Lane didn't seem to mind that Superman was from Krypton. What about Princess Vespa in Spaceballs? She was from Druida, and Lone Starr was dying to get into that chastity belt. Natasha Henstridge had her intergalactic tongue in many a mouth in Species (admittedly, those trysts didn't end well).
Provided that the alien in question has the same sexy parts as a human, alien is something to be celebrated. Mummies are dead. Zombies swallow brains. It's illegal to rock an animal's world. But aliens? As far as the United States government is concerned, they don't even exist!
But here's the downside to sexing with an alien. You don't know what's going to happen physically. Aliens may have some crazy way to make love, like biting off the male's head afterward. Or you could get pregnant. And not in a normal way. Especially if you're a dude. You just don't know.