An incubus is a male demon who visits women in the night to have sexual intercourse with them. The female equivalent of this is, of course, the succubus. According to the Malleus Maleficarum, the only way to kill these demons is through a series of exorcisms and prayers. Personally, I think the whole incubus/succubus phenomena, as described in the Malleus Maleficarum, is the equivalent of priest pornography in the Middle Ages. My amateur hypothesis about these tales of men and women having sex with demons, which I should mention existed way before the Middle Ages, is that they were an acceptable way to talk about unspeakable and taboo sexual acts including premarital sex, rape, incest, adultery or homosexual sex. Attributing a sex act to the possession of a demon is a way to detach and compartmentalize the act/alleviate feelings of victimization.
Likelihood: Very doubtful. If she was indeed visited by a incubus, you won't hear Ke$ha mention the word demon for fear of alienating her religious fans. She must have some, right? Also, if this the case, her next album will be called Possession.