This book was steamy enough to get banned and cause some outrage in its time—1896 was not a great time to portray an unmarried woman having babies. Of course, Jude the Obscure came out during the Victorian era, so sex is handled differently than it is in a lot of contemporary works. In fact, a lot of the steamiest things actually take place between chapters, so the reader never "sees" them (it's like violence taking place off stage in Greek tragedies).
However, even though nothing is explicit, this novel still has tons of romance. The relationship between Jude and Sue is tense enough to make something as simple as them touching hands seem like the most romantic act in the world. The Victorians were great at repressing physical desire and forcing people to hide their feelings, so when even a little act of sexual rebellion takes place, the effect is incredibly powerful.