Late to the game, as usual.
I am of the female sex and goddammit I am attracted to Pyramid Head. Have been for years. He's one of the fictional characters that tend to make me all tingly. I am fascinated by trying to analyze why exactly that is, because it seems honestly weird, if not disturbing.
I think it is helpful to take note of the other characters that I enjoy fantasizing about, because as you will see, there is a pattern there.
Just of the top of my head, and among many others, these are: Sandor Clegane (ASOIAF), Daryl Dixon (the Walking Dead), Lucien Lachance (The Elder Scrolls), Arthas (Warcraft), Romero (Vampire the Masquerade - Bloodlines) & Sirius Black and yes, freaking Tom Marvolo Riddle. Most of these have, btw, a huge female following and many livejournal groups, fanfictions, fanarts and tumblr blogs focusing on them.
(The following is a repost of a part of an analysis I did on Sandor Clegane in a livejournal group some time ago.)
"This type of character can be described as being strongly masculine -in appearance too, more often than not - but more importantly in their attitudes towards violence and sexuality.
Now, concerning some other characteristics (which may or may not be present):
There is a pattern of being internally disturbed, conflicted, disconnected from their emotionality. There is the inability to cope rationally with past trauma (which was often exceptional at some point or another) and the tendency to sublimate these feelings of inadequacy and powerlessness into overtly violent, restless conduct and accentualized display of what is perceived as being confirming of their brutal and uncompromising nature and attitudes.
In essence, they shield themselves and their sensitive core with assholery."
And also:
"No one wants to fuck the masculine jerk if he is full of himself. The inner conflict within is allowing us to realize he is a complex human being capable of self-reflection and growth. And that is what is ultimately attractive for a woman, or so I believe. I want to fix him and be the one person who touches him and binds him to herself for eternity. He would still be the jerk in some aspects, though, and protect me fiercely. My faithful dog, a creature of but one master.
And [Sandor] is the ultimate woman?s challenge ? overcoming fear and anger and aggression with tenderness, love and empathy. Overpowering masculinity with femininity, without the use of power. Or, rather, the masculine yielding to the feminine, on its own accord."
Pyramid Head is a projection of James' disturbed psyche and in this way, he is a wonderful example of this type of character, heavy with internal conflict. He is himself the conflict, externalized and materialized into a separate entity.