I've been looking at Cassandra's Conflict for a while, I think I will have to get it now!
I highly reccomend Story of O, but maybe not as your 'first-fling' with erotica. Unless you're aware of the themes it can seem pretty dark and quite intense. Beautifully written though, definitely a great novel in its own right (with or without the erotica label).
Alice mentioned The Crimson Petal and White to me yesterday, which looks interesting. It's set in Victorian England but has been written recently. Not sure how traditionally 'sexy' it is though.