People paint nudes because it is extremely useful to your art education to familiarize yourself with the way human anatomy is constructed. The female form is fun to draw, and aesthetically pleasing for both men and women. Artists aren't being "naughty" by drawing nudes, but I think that it is fair to say that the nude form draws its beauty from the sexual associations we have with it.
A more confusing question is this: Why naked women instead of naked men?
Traditionally women's sexual identity was thought to be involved with their desire for and their awareness of being looked at. Women have been brought up throughout history as visual objects; the theory goes that we are always aware of being looked at, and go about our lives as if on display. Men observe, women are observed. The popularity of female nude paintings comes from our old idea that the female form is something to be displayed and looked at.
I think they call it "the gaze" in art-speak. Women are very aware of the gaze, while men exist almost apart from it.
We are slowly breaking away from these outdated ideas, but in the art world female nudes are still extremely prevalent... For example, at my first semester of art school we drew nude upon nude week after week, all female. Only at the tail end of the semester did they bring in a man for us to draw... but unlike all the female models preceding him, he posed clothed.
The male body doesn't seem as natural a subject to us as the female body, because of these old associations.