You know all those horror stories that are all about how terrified the author is of sex? Erotic horror is when you make that into actual porn. Vampires and demons are particularly popular, seducing folks in order to drain and eventually kill them--but hey, at least it's a fun death! (It's not a genre I really like, since I prefer sex in a safe, happy context, but I've worked in it a few times.)

Literotica has an erotic horror section, if you feel like checking it out. Just be warned that there's a thin line between "this scares me and turns me on" and "this scares me," and be ready to back-button if you get into something too strong for you.