It's not exactly naughty, but how about the Museum of Sex?

Yes, we will definitely plan on going this time. We were not able to the last time we were there, it was closed.

never been there. so I am looking forward to seeing some tips of places to go and see

Well, we made it back from NY. We attended both a burlesque show and the Museum of Sex. We both had a ball at the burlesque show. It was silly, campy, and funny. There were 6 main performers and they were all very interesting in their own ways. Mrs. Lust and I got quite an experience, as one of the performers decided to come off the stage and shake her breasts across my face. We both laughed and enjoyed the moment. Interesting, two years ago we would not have attended at all, and we both would have been more uptight.
The Museum was a bit of a disappointment. If you ever decide to go, make sure you get some of the half price tickets that are out there. The actual ticket prices were $18, but we got ours for $9. It was primarily short video clips and lots of old photos. There was an exhibit on a turn of the century sexologist that was mostly old papers and articles, then an exhibit on erotic cartoons that was kind of fun for a few minutes. We were both hoping for some more stuff that was more actual exhibits. The AC was also broken and we had to leave finally as the heat and stuffiness of the place made us nauseous. Interestingly, the shop that the Museum has was well stocked with high quality toys like LELO, Tenga, Jopen, etc.