I think futuristic or paranormal stories give a writer a lot of freedom in writing erotic romance. You can let your imagination run a little wild and let the sex run a little wilder (after all, it's all fantasy, right?).
Historicals can lead to certain restrictions, but if the premise works (i.e. Leigh Court's The Disciplinarian) historical erotica is delicious.
There's nothing like a good dose of laughter with your sex, which is why I also enjoy erotic romance with elements of comedy (Kate St. James' Good Vibrations). I think the most humorous erotic romance I've written is Virgin of the Amazon - even had some fun with the title.
And finally, contemporaries are harder than they might seem because you really have to give the story a twist to make it stand out. You almost have to build the eroticism into the premise of the story to make it more than just a love story with a lot of sex.
The very first erotica (definitely erotica, not erotic romance) I got published was a novella titled Wager of Desire. It's a historical - and not terribly well written, has lots of head-hopping and it's very kinky ;) - but I absolutely loved the cover (see above) and I just got another royalty check for it (three years after the publication date).
So what's your favorite setting - time or place - for erotic romance? And does the setting affect the story?