Being turned on by fantasies of having sex with animals is not entirely rare. Based on the scant research available, somewhere in the range of 10-15% of people likely have these sorts of fantasies (e.g., link).
Acting on those fantasies is uncommon and in many places, including Canada, it's illegal. In some states in the US, however, it's legal.
Ethicists have struggled with the idea of sex with animals. They have identified two primary issues for consideration. First, animals can't consent. However, zoophiles argue that their animals enjoy the experiences and may even initiate. Second, we eat animals, kill animals for sport, and use animals to test consumer products and new medical devices and drugs. They do not consent to these experiences, and surely wouldn't if they were able to.
The documentary Animal Passions (2004) addresses these issues and many more. It features shockingly candid discussions and stories from zoophiles themselves.
From a review on IMDB:
One of the most extraordinary documentaries I have ever seen. I watched it with mouth agape as half a dozen Americans spoke of their love for animals and their intimate relationships with them. Producer Christopher Spencer reserves judgement and provides us with a very clear picture of why some human beings' love for animals extends to having sex with them. This is not an XXX-rated, Brazilian bestiality film featuring bad photography, crappy sound and pornographic imagery. This is an English documentary from a renowned documentarian who introduces us to some of the most marginalized people on Earth. The interviewees, both men and women, are incredibly candid about their zoophile lifestyle (an illegal lifestyle in most parts of the world) and come across as intelligent, articulate and resigned to their unconventional sexual proclivity. I admit that one early scene in which a group of male zoophiles admire a couple of horses and make lustful comments about their bodies made me feel slighty uncomfortable and reminded me that I'm more conventional than I thought. "Animal Passions" (not to be confused with the often bootlegged Color Climax porno film, "Animal Passion") is beautifully shot in rural America and stands as the most non-exploitive word on the subject so far. Although some of the docos on famous animal lover Bodil attempt to penetrate the mind of a zoophile, these are still geared towards the porno market and are only superficial "documentaries". Though this is sexually non-explicit, it is the most explicit exploration of this inflammatiory subject I've seen and stands as a fine anthropological document. Highly recommended.
The full documentary can be downloaded here (not for the faint of heart!). If it is unavailable, try again in a day or two - my Dropbox account limit keeps getting hit. Alternatively, you can view it on YouTube (NSFW language):