Sexuality Libraries, Archives, and Collections - US
Many of these sites have searchable catalogs.  Several use their own thesauri. Go do your research now

Institute for Advanced Study of Human Sexuality - IASHS - no searchable catalog, but this is an incredible set of late-20th century and contemporary materials in multiple media.
The Kinsey Institute for Research in Sex, Gender, and Reproduction Click on the 'Library Catalog' link to search their catalog.
Center for Sex Research - at CSUN Cal State University Northridge
Vern and Bonnie Bullough Collection on Human Sexuality an important collection housed at Cal State University Northridge. Part of their special collections.
Human Sexuality Collection  at Cornell University Library.  Seeded by the Mariposa Foundation collection, they now collect numerous documents on a variety of aspects of sexuality and homosexuality.  Brenda Marsten is the librarian there.  
SIECUS Mary S. Calderone Library  No online catalog, but good information and links.  Amy Levine is the librarian there.  
New York Public Library has one of the larger public collections focused on human sexuality.  They also have this site, Gay and Lesbian Studies - A Research Guide
Leather Archives & Museum After putting ads in Leather publications for a while, they've gathered and cataloged all kinds of leather stuff. Worth a visit in Chicago, very close to what the Wet Spot has in mind.  
Planned Parenthood There was once a link directly to the Katherine Dexter McCormick Library of Planned Parenthood. This is a library for reference and research in family planning, population, sexual health, and sexuality education. This link goes directly to the Planned Parenthood website, which has plenty of info in itself.
Pacific Northwest Library for Sex-Positive Culture - With the help of its excellent staff and volunteers, I founded this library at The Wet Spot, Seattle's Sex-Positive Community Center. Now it's being carried on by wonderful folks. I can't wait to visit again and see what they've done with it.

Sexuality Libraries, Archives, and Collections - Non-US

Magnus Hirschfeld Archive for Sexology This is the one put together by Prof. Dr. Erwin Haeberle, historian and scholar.  Great database and links, including full text of the Encyclopedia of Sexuality and other interesting documents.  
Wellcome Library for the History and Understanding of Medicine Great online catalog and image library. This organization is doing some really interesting and relevant work.
NISSO Netherlands Institute for Social Sexological Research.  This institution has long educated students, the media, and their institutes constituency on sexual matters. Site is in Dutch. 
EDOA European Database on AIDS and HIV Infection.  Peter de Wit worked on the multilingual thesaurus used to index AIDS collections.  Amazing.
Homodok-Lesbian Archives Amsterdam is the Amsterdam branch of the International Gay and Lesbian Information Centre and Archive Foundation. Jack van der Wal is the archivist there.  I visited them Spring 2000. Site in Dutch and English.
Trimbos-Institut Netherlands Institute of Mental Health and Addiction. Has a large component about sexuality, including a large collection of audio-visual materials. Online database. Mostly in Dutch.
 

GLBT Libraries and Archives - US

ONE Institute International Gay & Lesbian Archives In Los Angeles. This organization and library is really coming together, with a building by USC.
Gay, Lesbian, Bisexual, Transgender Historical Society of Northern California or, the Center for the Study of Sexual Diversity.  
Northwest Lesbian and Gay History Museum Project - working on putting together a museum in the Pacific Northwest United States.
Gay and Lesbian Archive of the Pacific Northwest - link broken as of October 2005. Maybe it'll reappear somewhere else.
James C. Hormel Gay and Lesbian Center at the San Francisco Public Library; headed by Jim van Buskirk.
Gerber Hart Library - established, large, lesbigay library in Chicago
National Transgender Library and Archives - a repository for books, journals, magazines, newspapers, newsletters, postcards, films, personal papers, ephemera, and other transgender material. Now a part of Gender.org.
Canadian Lesbian and Gay Archives - Toronto, Canada.  Friendly and interesting site, with great essays on archival principles and how their collections fit.  Check out the great "mandate." 

Lists/Directories of GLBT/Queer libraries and resources

There are SO many more GLBT libraries and collections than ones oriented towards sexuality.  There are other aspects to GLBT history and culture than sexual, but most libraries include a sexual component.  I can't link to every LBGT library, there are simply too many. The links below gather these together in a much better way than I can. 

Society of American Archivists' Lesbian and Gay Archives Roundtable - directory of LBGT archives.  This is a definitive, cooperative directory that looks like the real thing.  Great work.  How do I join?  
Central Connecticut University, G.W. Henry Foundation their LONG list of gay and lesbian newsletters and periodicals. The site in general is quite interesting, with a history of where the collection came from, etc.
Other gay and lesbian Websites; including a list of libraries and archives.
ALA GLBT resources, American Library Association's list of internet resources by topic.
Beginning Library Research on Lesbian/Gay/Bisexual Studies from Stanford University. 

Periodicals Indexes

Our Own Voices : Lesbian and Gay Periodicals 1890s-2000s by the Canadian Lesbian and Gay Archives.  More than 7,000 lesbian and gay periodicals, from all over the world; the largest resource of its kind in the world.

Other Libraries & such of Interest

American Nudist Research Library
In beautiful Kissimmee, Florida; a clothing-optional library.  I'd love to visit this; a few photos of their site look enticing.  The link stopped working a while ago; if anybody knows where it went please let me know!
Sexual Freedom League Records - Archival record for the holdings at the Bancroft Library at Berkeley, CA.  A gift of Jefferson F. Poland in around 1970. Search for "sexual freedom league" for the finding aid for this collection.