If you were "conned", then the American English statement would be "you got me!" or "You got me good!" (Well, that second one is probably New York specific.) I think British English would be the same, or close to it. If you wanted to use "had", then it would be "I've been had!" or "I've been had by you!".
The sexual connotation is common.
Also, depending on the context, the sentence "You had me!" could be in response to something like "I was all alone at that time, I had no one!". Imagine that being said by a really self-pitying person who had been going through some ego-driven crisis and ignoring their partner/significant other/lover/wfire/husband. It would be totally probable that the significant other would respond with "You had me!" in a rather angry tone of voice and then, if not getting an appropriate apology, storming out of the room and possibly out of the relationship, too.
![Smile [:)]](/emoticons/emotion-1.gif)