For me I think it traces back to childhood curiosity, wondering "What does that feel like?"
Having been pied a few times, now I know: "Oh, it feels like that."
Imagining what the pied/slimed/muddy person is feeling has always been the turn on for me.
Funny story: When I was about 12, I sang backing vocals on a couple of CDs by a local children's entertainer, one song in particular that I sang on was about getting an ice cream cone and having the ice cream get away, which included the lines "It's getting up my nose/and I know it's in my hair/And, ew, it's even getting cold down in my underwear"
Being 12 I was kind of just beginning to form my own... "sexual identity" shall we say... and WAM was definitely becoming a large part of it, so... yeah... she also had a song about playing in the mud... and the cover of her one CD had one of her puppet friends spilling some pancake batter on her shoulder... hmmm
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