Recently Cerridwen Press (www.cerridwenpress.com) published my elf romance, PRINCE OF THE HOLLOW HILLS. As members of a long-lived species from another "world" with a few superhuman powers, they qualify as aliens of a sort. My naturally evolved vampires (first appearing in a novel with my "book of the heart" DARK CHANGELING and most recently in an Ellora's Cave novella, "Tall, Dark, and Deadly") also have extraordinary powers and lifespan, plus the need to consume blood. When writing about my favorite scenario, relationships between human and nonhuman entities, I face the problem of plausibly explaining why a powerful creature who has lived for centuries would be attracted to an ordinary human being on a personal level, much less as an equal.
With my vampires, the craving for blood also involves a requirement to feed on human emotions; that's why they can't survive solely on animal blood, which provides bulk nourishment. So they have to get close to their prey, even if some of them find this necessity distasteful. But why prefer one donor over another? I have sometimes approached this problem by endowing the heroine with inborn psychic talents that make her stand out from the common "herd" (as a vampire would see it) or by giving her some means of resisting the hero's hypnotic influence, thus making her an intriguing challenge. I also postulate that a vampire can attain true fulfillment only through a bond with a single donor. Many vampires disdain becoming so dependent on an "inferior," but of course we write about the exceptions. Other authors such as Christine Feehan in particular have created the concept of a single "soulmate" for each immortal.
With elves, I use the common theme that immortal beings, leading a cool, serene existence, can become fascinated with the volatile passions and short, intense lives of mortals. Also, it's sometimes assumed that elves lack the spark of creativity possessed by the human race and are attracted to those gifts in our kind. In another Ellora's Cave novella, “Dragon's Tribute,” I deal with a love affair between a captive young woman and a dragon who can take human form. He finds the heroine more appealing than the previous sacrificial maidens because, unknown to herself, she has part-dragon ancestry.
A formerly human "alien" such as a traditional undead vampire or a Highlander-style Immortal might be attracted to an "ordinary" woman because, far from disdaining mortality, he might want to stay in touch with the remnants of his own humanity.
Another device that can be useful for bringing mortal and immortal together in intimacy is to place the nonhuman character in an unusually vulnerable position, so that he has to accept help from the human heroine and thereby comes to recognize and appreciate her valuable qualities.
In short, it's clear why we yearn for intimacy with aliens, but it takes more ingenuity to discern why they would fall in love with us.