If I remember correctly, I think I read that the developers at KEY actually don't particularly want to include adult content but do so in the first release of their games just to conform to the standards of the PC visual novel industry. The clean versions are produced in much great quantities and sell a ton more.
I haven't played any of KEY's games myself, but if the anime is reflective of the stories in the games, I'd recommend them just based on that. I checked Air out at the library basically just as a joke since the covers of the DVDs made it looks like the most horribly annoying moe crap ever. I expected to hate it, and I was amazed at how quickly it sucked me in (and this is from a jaded anime watcher that isn't easily impressed). I still don't care for the style of the character designs, but it's a captivating, beautiful story in spite of that. I hear the anime version of Clannad is a real tearjerker too. I'd love to play the games someday, but I'm not sure if any are available in English (and from what I know, they're pure visual novels, so it's solely about the story, without any of the game-yness that can make dating sims and such fun even in Japanese).