A MUCH BETTER EXPLANATION OF THIS FILM **SPOILERS**
Don't listen to normalemail's review in any way.
The sex was intimate. Obviously the first one was not so: Yee wanted to possess, Wang wanted to seduce. Hence, even after the rape, Wang smiled because she knew she was getting closer. Yee as yet did not feel anything for Wang besides lust, and he wanted to possess her sexually.
Gradually though, you see Yee display a sort of humanity. He really does begin to care for Wang, and Wang for Yee. Their initial motivations are gradually sublimated to their genuine feeling for each other, which is what makes it so hard on Wang. I think the turning point came when the group leader and the older man who gave Wang the pill are talking in the dingy hotel room, and the old guy wants Wang to keep on seeing Yee. Wang has a semi-breakdown demanding the old man to send people in and kill Yee, because as she says "he is worming into my heart." I think that this is the point (and a little afterward when the group leader finally kissed her) Wang began to realize that she may no longer commit to killing Yee.
The sex scenes become gradually more intimate. In the second, Yee is still batting her around a bit, and his face is as yet almost completely emotionless. But by the last scene, he moves around, he screams. He really cares for her, and the car scene where normalemails says Yee is "telling her how he just torture a couple of rebels while feeling her up which lead to the 2nd sex scene" is not that at all. He was responding to Wang's demand that he have her wait inside--it was his way of saying "what I do is full of pain--you should stay away from it." He wanted her to stay clean and beautiful, so that when he is with her he could move away from the difficulty of his work for a while.
Wang was feeling conflicted because the rebel group where she was supposed to be "safe" and be herself was demanding too much of her without really understanding how she felt. The other group members were more or less only concerned about themselves--watch the guy who complains that is father is demanding how he is using the money, and the other girl who displays some jealousy when the group leader seems to get close to Wang. And, of course, that truly awkward sex scene when that group member comes and has sex with Wang so she can "get experience." He was just uncomfortable with himself, though he did want to have sex with her. (If he had thought about her feelings at all, he would have done his best to make her feel comfortable and less bad about what she was doing.) And finally, the crazy old man who lost his wife to Yee just cares about revenge, not really about Wang in any way whatsoever.
But on the other hand, Yee was showing her compassion. Obviously the sex meant they got closer quite a bit, but besides that he cries when she sings for him, and in the end, he buys her the ring. And the clincher--when the group leader finally had the balls to kiss her, it was too little too late. He had asked too much of her, and he had never acted on his genuine compassion for Wang at any time in the past. Wang was feeling for Yee, and when this man/boy who she had once admired finally came to kiss her, she realized that she no longer admired him at all. He had been weak, too weak to show his feelings for her, too weak to stand up for her pain when she was feeling most conflicted.
And so, at the end, when Wang makes the call, she's fulfilling the role that she had sacrificed for and cried for for years, but when she's done... is that what she really wanted to do? Could she really betray the man she had come to love? And she finds she cannot. The final scene with Wang, when she's about to be shot, shows resignation. She accepts what she's done.
And Yee at the end is truly hurt that Wang has betrayed him. There was no way he could have saved her... what would his superiors say? She exposed herself as a traitor, and there is no other way he deals with traitors than to kill them. (I do admit that he was being cold-hearted, but that's Mr. Yee for you) But he's conflicted about his decision as well--he doesn't want to face her and question her and he questions his resolve to kill her if they come face-to-face. And though he signs their death order, when the man returns the diamond ring, Yee states that it is not his, and unsaid, that it is hers. If he really didn't give a damn, he'd take the diamond ring without a quibble because it's worth a lot of money.
And lastly, "Se, Jie" doesn't actually mean "Lust, Caution." "Se" is actually "color," which in this context means sex, exoticism, and seduction. "Jie" does mean cautious to an extent, but it's also playing on the word "Jiezhi," which means ring.
So HERE is the explanation of the latter half of the movie. I haven't covered all of Wang's motivations for joining the group, nor her father's abandonment of her, or any of the Mahjong scenes. And, of course, there is a great deal of subtle emotions parading around that I haven't detailed. But, this is the bulk of the movie, and obviously you can see that it is much deeper than you might have thought.