Fan fiction (fanfiction, fan-fiction, fanfic, fic or FF) is fiction written by fans using the characters and/or worlds of published works, television series, films, video games, role-playing game, celebrities or historical figures. Yes, they can be quite erotic.
Fan fiction can be broken into three genres: "het" or herterosexual fiction, lesbian fiction, and "slash" fiction which is male-on-male erotica written by heterosexual women for heterosexual women to read. Since the primary authors and readers of such works are women, reading about the popularity of fan fiction, reading the stories themselves, you can find key fantasy points for female readers.
Lumos Dissendium is FictionAlley's portal for tips and tricks on writing and other fandom activity (focused on Harry Potter, but you'll get the idea). It's a good place for newbies to start.
In Private Uses of Cyberspace: Women, Desire, and Fan Culture author Sharon Cumberland looks at internet fan fiction -- with a focus on the way in which women are using it to explore feelings and ideas denied them in the past.
(Even non-fiction authors would be wise to note the power of fantasies -- and webmasters, the importance of community with women.)