I feel sexy when I've just stepped out of the shower, my hair is still wet, and I walk around the house with just a towel draped around me... occasionally flashing my husband (or the neighbors, accidentally).
I also feel sexy when my husband is suddenly overcome with desire and throws me down on the bed to fuck me. That's hot.
EDIT: As others have said, I also feel sexy when I'm working out, and after I finish working out and am walking around the gym feeling like a hot piece of ass. I used to rock climb a lot in tight clothing, and that also made me feel quite confident in my body.