I think geryyaum and Maris are on the right track with this. Our fascination with naked may be that it is a strong indication that we have no nature and we are interpreted all the way down by the culture be are born into. The culture specifies all the possible ways we can be human and we can only understand ourselves within this context. The fact is we are born men and women, but this fact is transformed into masculine and feminine by culture. Culture has taken over all our facts and transformed them into social interpretation. We can only be understood by ourselves after the transformation simply because we are concerned with such things, unlike a beaver who probably isn't concerned with his beaverness.
Naked is the juxtaposition of the fact of human and the facticity (or interpretation) of human. Although we use our facticity as our reference for self-referal and understanding we can never really be defined by it because we are misinterpreting facticity as our essential nature, (the mistake made by those citing our animal nature.) This misrepresentation is, so to speak, necessary because is grounds us in the world as an object with properties. It is unsettling to think we are without nature or meaning and everything about us is an interpretation. Again, naked brings us face to face with this strange characteristic of our existence.