To "go deep" can lean on two senses of the word in my eyes: either a) to go deeper down the field when playing American football - don't ask me, not American or b) to penetrate your lady (or man friend) that slight bit deeper by changing angle or adding a slight bit of thrust... kabang and there you have it.
1 - "Mikey, go deep I'm gonna make this mother fucker fly like that frantic greek child who flew to close to the sun".
2 - ...later that night at either (a) Mikey's mum's, (b) Mikey's coache's or (c) Mikey's girlfriend's place, whatever floats your boat - "Ohh Mikey, way to go. Ohh, phud... ohh slam me hunny. Drill me like Dr. Evil's project vulcan baby, drill me good like the driller killer, ohh fuck me... fuck me, go deep! Take me to the core of the earth baby....woooohoooo. What a fucking rush - p.s. she faked it.