Well, sometimes it's obvious. Pelvic and prostate exams are often the only situation in which people we aren't sexually involved with get up close and personal with our genitals. It makes sense, then, that a few of us might enjoy co-opting the one in the commission of the other. The completely ineffectual gowns, the always-handy beds...it's a wonder we can tell an exam room and a porno set apart!
Doctor, Doctor, what should I do? A common theme of medical roleplay is the power dynamic between medical professional and patient. This can lend itself to all kinds of flavors: a doctor might chide a naughty patient who hasn't followed medical orders, a nurse may take offense at an examinee's erection and punish it, or a medical professional might assure their charge that everything will be fine, they'll feel much better soon, just lie back and relax...
Innocence is easy to play. More and more, medical play porn focuses on the potential innocence of the patients: the non-orgasmic woman in need of medical intervention, or the young man who needs his ejaculation ability tested. (Haven't heard about ejaculation testing in real life? Well, good—don't believe everything else you see in porn, either...) Similarly, the concept of the medical professional as a trusted, knowledgeable, slightly creepy person (at least, that's how I think of my doctor) gets a sexy dominant twist.
Medical play isn't always medical roleplay. Plenty of aficionados throw point #1 out the window and strictly enjoy certain medical toys for sensation's sake, in a variety of entirely non-roleplay settings. Sounding is a good example: in medicine, this is the practice of inserting an instrument into the male urethra to locate bloackages, but this practice has taken hold as a popular activity in the kink community as a sexual activity. As the nonmedical market for sounding equipment rose, nonmedical sounds soon appeared, including one equipped with a tiny vibrator on the insertion end for an extra zing you never got from your M.D.
Medical play and horror films may have something in common. Bear with me; I'm going to get all esoteric on your ass for a minute. Stephen King once said that body invasion horror—the kind of horror in which the skin is breached by an object or a beast of some sort—was the most effective horror because it obliquely drew on sexuality, the other insertion activity. It may be that we sometimes unconsciously realize that the way our bodies are penetrated and “invaded” during medical procedures does bear a faint resemblance to sex, and that it makes some of us uncomfortable and others of us hot.