I'll never understand why so many people only choose to focus on the sexual aspects of Slaanesh.
After all, you can revel in excess of anything.
Tzeench revals in excessive knowledge,
Khorne; excessive violence,
Nurgle; excessive filth,
...
The Emperor; excessive Psyker juice.
Unfortunately, for a lot of people, Slaanesh represents their inner sex-addict and not a whole lot else.
HOWEVER
Sex is a prominent aspect of Slaanesh's being and having been spawned of Eldar drug-orgies (among other things)
I'd recommend things like syringes, tentacles, syringe-tipped tentacles (pleasure and pain are the same thing for some)
Bondage gear also wouldn't look out of place, e.g: whips, gags, leather straps/restraints, masks.
I personally like the idea of a ball gag stuffed into someone's mouth (possibly some long, sharp teeth protruding out in front of it).
I wouldn't recommend sculpting over-sized sex organs onto your miniatures. a more 'suggestive' approach might look good though.
...which has lead me to imagine a Slaanesh marine pitching a tent under his loin cloth
Hope this helps the idea machine churn something out.
Peace