Museum of Sex in New York seemed alright. Had a collection of Tijuana Bibles. It's been a while since I went, but I dunno if I'd consider any of it particularly shocking given what it's meant to be. That can be very subjective, of course.

One thing is that a well run academic museum does collections first and exhibits second. 99% of what they have is stored away for safekeeping, and can only be viewed and handled by qualified academics who make an appointment. I'm not sure any of these places would qualify.