I'd pick skiing. I've had some great and far out sex in my time, but still nothing that ever made me want to jump up and down screaming "Yeahhh!" like a lunatic, like I've done after an awesome high speed run down the mountain or after some huge air. (BTW, screaming "yeahhh!" during or after sex is usually pretty cheesy anyways. That's the girl's job
Skiing gives me an adrenaline rush that sex does not; having sex seems more like getting an itch scratched- usually more of a relief than a big-time rush. Junkies usually prefer drugs to sex; skiing can be a drug too.
More thoughts: Sex is a compulsion; Skiing is an obsession. We are driven to seek and have sex by natural forces. Skiing is an unnatural action that nonetheless grips some of us with a more powerful force than nature itself.
While both sex and skiing may be considered spiritual and sublime at times, I would guess that most mystics and other spiritual masters have overcome the need for sex, while still acknowledging the spiritual benefits of being in the mountains amongst nature.
Having said all of the above, I will say this in the defense of sex: I still prefer mediocre sex to mediocre skiing.