My girlfriend and I were just talking about this a couple weeks ago and decided the best examples were Dante from Devil May Cry and particular women in Final Fantasy, specifically FFX-2 girls and Lightning Returns do a great job. The key is making it a fantasy for both parties or keep the sexiness subtle (by videogame standards). Women think Dante is hot, there is no doubt about it, yet it doesn't feel awkward for guys playing him, they just have fun with the power fantasy. Similarly, the Final Fantasy women mentioned are in skimpy costumes that men can drool over while it's clearly not too overbearing to drive away female fans, as Final Fantasy is one of the few games I hear consistently mentioned by male and female gamers alike. Actually a few Final Fantasy men have also been sexualized well, might have something to do with it.
I've seen a lot of people mention characters like the Dead or Alive women and other similar characters, which I think are terrible examples. The sexiness is too distracting, to the point of making those not attracted to them feel awkward. Boobs are fine, just look at Lulu. It's a balancing act between how sexy they are and how distracting it is. Depth of character helps a lot for Lulu to keep her many cleavage shots from being too distracting for those uninterested. [Side note: being a badass is not depth of character, very tired of people saying "yeah she's sexy, but can kill people too" when defending some character.] Dante isn't all that deep, but he happens to be a male power fantasy along with having a smooth, constantly bare chest.
Now of course there are people that are exceptions to all this, i.e. women not bothered by fighting game females or men that feel weird playing as Dante, but I'm generalizing.