Pretty much the only graphic sex scenes I can think of which did serious character work: the various ones in the first season of Homeland, the one with Riley and Faith-in-Buffy's-body in Buffy the Vampire Slayer, and, from a series that gets less prestige, the ones between Rachel and John in Alphas. (The final one also unusual in that it's a scene in which two characters whose relationship is presented as a good thing DON'T have effortlessly wonderful first-time sex.)