There is a fairly common misconception that tantra yoga involves sex in some way. While I suppose the sexual aspect could be brought into play during meditative portions of it, sex is a very far cry from having anything to do with tantra yoga itself. Tantra yoga is more of a holistic approach to the study of the universe via the study of the individual. In other words you study the microcosm to understand the macrocosm. Further simplified, study yourself to understand the world. Granted that's a pretty diluted way of looking at it, but it suits the purpose.
Spirituality
Tantra yoga focuses on the spiritual aspects of yoga more than just about anything else. When meditation is brought into play, yogis are often directed to focus on the Shakti, or energy, inside of them and bring it up through the chakras to collect in the forehead. Once a tantra yoga practitioner has collected enough of this energy they are directed to visualize it pouring out of that point on the forehead to coalesce before them. From there the visualization continues in an attempt to expand this mass of energy to the size and shape of a person which is meant to represent them or a depiction of a deity.
Perhaps the sexual connotation of tantra yoga became involved from the love and devotion one is supposed to direct to the visualized energy during the meditative exercise. In a sense this tantra yoga technique could be considered a form of self love, or devotion to God, depending on how the yogi chose to take it.
Tantra Yoga Goals
The main aim of tantra yoga in general is to expand awareness in all states of consciousness, whether it is waking, dreaming or sleeping. In order to accomplish this, yogis are instructed in methods of reprogramming their minds to a manner of life that is viewed as healthier. Tantra yoga teaches us to identify factors that influence the way we think and feel so that we may change them as necessary to transcend these obstacles that hinder us. By altering our habits and thought processes we can then learn to foster feelings of peace, contentment and order within ourselves instead of clinging to self-destructive thoughts based on ignorance, intolerance and selfishness.
Tantra yoga offers comprehensive tools to aide you in redirecting your thoughts towards healthier processes by guiding one towards breathing exercises, physical and spiritual cleansing of the self, visualization, and mantra repetitions (or chanting). These practices and more can help unfold our divine nature, as taught by gurus of this branch of yoga.
