People starting out learning Spanish sometimes use excitado/a for the word "excited" since they are spelled almost the same. Excitado/a does mean "excited" but in a sexual way. If you're excited about something, like a vacation for example, you want to use emocionado/a instead. To describe something exciting you can use emocionante.

I'm excited. (horny)
Estoy excitado/a.
ehs-toy ehk-see-tah-doh/ah.

I'm excited. (enthusiastic, thrilled)
Estoy emocionado/a.
ehs-toy eh-moh-see-ohn-ah-doh/ah.

It was exciting.
Fue emocionante.
fweh eh-moh-see-ohn-ahn-teh.

Excitado/a is probably the most formal way to say "horny." Here's some others; caliente, cachondo/a (depending on the country can mean "horny" in a more humorous way) and arrecho/a (probably less universal than the others).

If you want to tell your lover that he/she is making you horny in Spanish remember they that they say "putting me horny" using the verb poner instead of "making me horny" using the verb hacer:

You are (really) making me horny.
Me estás poniendo (muy) caliente.
meh ehs-tAHs poh-nee-ehn-doh (mwee) kah-lee-ehn-teh.

Enjoy!