The song has very few lyrics. It starts out with a woman singing that she's "fallen from the sky, falling for a guy." The guy has a "halo round his head" and they say they have "feathers in our bed." The rest of the song is a repetition of this melodically crooned intro and the words "Sacrilege, sacrilege, sacrilege you say" sung with increasing power and passion.
Alone, the song brings into question our cultural assumptions about sex, purity, and sin. Taken with the video, though, it does more than question those assumptions; it indicts them.
You should watch it. Maybe twice. (Edit: Okay, more than twice. See the update at the end on a major mistake I made in this analysis.)