How can I save and protect sexy pictures sent by my girlfriend? I'm traveling and my GF wants to send me some racy pictures.  Of course I will accept that offer, but I need to save them on my phone in a safe way.

My phone uses Activesync, so it's possible for my office to reset my pin code and so I need an extra layer of protection for more intimate pictures.

She has an iPhone so I think she will send them over SMS, but I can ask her to do it a different way.  What are my options?
You should try Audio Manager from Anuj Tenani. You can also save videos, images and audio which were send via any application from the gallery.
It's also available on iTunes.

--About the app --

The app is cleverly disguised as "Audio Manager" in the App Drawer.
Disguises itself as a Audio Manager app which can be used to turn the volumes up and down. but if you Long press on the Audio Manager title the actual Hide It Pro app will launch, which is basically your secret vault of pics/videos/messages/apps etc.

-- Features in Detail --

1.) App disguised behind a fully functional Audio Manager

2.) Categorize media into folders of your choice

3.) Batch(Multi-Select) support for hiding and unhiding pictures

4.) Delete/Share/Unhide/Move pictures between albums

5.) Sort files by date/size/name and sort folders by count/name

6.) Gallery features Pinch to Zoom , Double tap to zoom , One finger hold and move zoom

7.) Slideshow with Fade, Zoom, Swipe effects

8.) Send/Share pictures

9.) Special optimization for low end phones.

10.) Video player features play/pause/forward/rewind/next video/prev video support

11.) Disappears from recent apps list

12.) Two lock screen options viz Pin and Password

13.) Escape pin/password for times when you get caught

14.) Built in encryption tool(with military standard 256-bit AES encryption) to secure your most important files

15.) Plugins for features like Private Messaging / Calls , Private Browsing , Locking Apps.
etc.