The blue alien girl from Mass Effect comes to mind. I think the reason why is because people want to find a way to break free from typical societal norms, and there is something exciting and mysterious about alien women. I'll admit, the Asari girl (can't remember her name) is very attractive, and I've found myself wondering about her a few times. But in the same way that men are attracted to mysterious and seemingly complex women, we are attracted to alien women because we don't know anything about them, and there's a certain drive in us to dominate a foreign being. If we can dominate the unknown, it makes us look more powerful to others. At least that's what the scientific explanation would probably be.