Why "sexy as hell"? The "hell" is easy to explain: it's both an allusion to how hot she is, and a bad pun on her name. The "sexy" is more complicated, but just as appropriate.
For starters, the lady is beautiful. Yes, everyone who sees her thinks she's a bishōnen at first, and I was no exception; but when you realize she's female, you get used to the look - even though her masculinity is thrown into sharp relief when she's juxtaposed with other young adult women, like Kim or the baobhan sith.
And once you're used to it, you start noticing other things. Like her long creamy smooth hair that does the coolest pointy thing. Like her nifty huge round glasses that reflect light at striking angles. Like her intense electric-ice-blue eyes. Like the classy gold cross pin. Like the lightly tan skin and full lips. Like the hands, which are, under the gloves, elegant.
She carries herself with masculine posture but feminine balance; and, as Susan Sontag said, what is most beautiful in feminine women is something masculine.
So she's gorgeous. But that's not all there is to sex appeal; there's personality, and Integra's is magnetic.
She's strong. She's strict, but her strictness is forgiveable because she ultimately puts the most pressure on herself. Despite appearances, she does care about people, and the only thing that can override her sense of duty to her country is the safety of those few people who are close to her.
As Walter explained to Seras during Order 10, "a commander with an indomitable spirit can make a soldier's heart burn." Why do you think Integra has been paired by fans with just about every other character? It's because she inspires that feeling from everyone: fiery passion. Walter's devoted to her; Seras, in awe of her; Alex, overwhelmed by her; Enrico, deeply envious of her; and Alucard, if not in love with her, very close to it.
In the manga Integra is more open with her emotions; she's awesome, she knows it, and she'll grin about it. Doesn't mean she's any less in control. Look at the frontspiece from the first chapter of volume 2. Her jacket's off, her hair is wild, and she looks amazing - and you can tell from that smile that she knows it. But she'll still shoot you if you cause trouble.
As the manga progresses, her design gets more masculine, her hair more tamed, and her personality grimmer. She gets farther and farther from the adorable girl she used to be, with wide blue eyes and over-arching bangs. But she was still strong and brave back then - not to mention cute, in skirts and white blouses. Alucard thought she was hot even back then. She's only gotten sexier.