In a US Weekly interview, Lucy Liu was not shy about her sex encounter with a ghost, or a heavenly figure. She said that it was sheer bliss, she felt everything and then he floated away. Apparently her description is not unlike what many other people report.
This could be a subset of what's called an incubus encounter, an often scary meeting with a creature that sits on your chest and looks scary. Really it's just something called sleep paralysis in which the paralysis effects of REM sleep intrude into a waking state, resulting in you not being able to move but are still awake.
Lucy Liu might have just experienced a similar incubus encounter, but instead of her being scared and paralyzed, she felt like she had sex with a ghost!