The role of sexuality in the life of those who follow God is a horribly misunderstood topic. We've twisted it around and screwed it up to no end. That being said, such a knot cannot be unraveled all at once, let me simply pull on one strand a bit and try to help...
What's the purpose of sex? To those who engage in sex outside of the covenant of marriage, it is an act of pleasure that often tries to be the glue holding a relationship together. It is an act of hope that is far too often placed in the wrong person. It becomes damaged by bad experiences and ends up being something it was never intended to be. Sex should not be a bargaining chip, nor a tool for getting one's way, it should not be bought or sold, nor should be be withheld or forced. We, as a society, have morphed sex almost beyond recognition.
Sex within a marriage is an entirely different thing. It is not the glue holding the relationship together, nor is it simply for pleasure. The bond that holds the marriage together is honor, integrity, and a promise made in love before God, family, and friends. Now, sex is pleasurable in a marriage, it is intended to be, but it also so much more. It is a celebration of the union that exists between two people, of the molding of two separate lives into one, of the submission of two independent wills into one common goal of being a mutually beneficially partnership.
If all of that sounds a little too idealistic to you, good, it should be. God created the institution of marriage, and made sexuality as a part of it, for a very good reason. We're not complete when we're alone. We all feel it, we all know that the joys and sorrows of this life should be shared with another who is designed to compliment you. A marriage works best when strengths and weaknesses are balanced out by the spouse, when needs and dreams are worked at together and not in competition.
Is sex a good thing? Absolutely, all of God's creation was good in the beginning. Has it been wrecked by sinful man? Without a doubt, but we can begin to reclaim sex by supporting marriage. Those who find themselves in the midst of divorce or failed relationships can begin again; you can reclaim your honor and integrity by saving your most intimate feelings for someone who is willing to publicly commit to you. It may be idealistic, but it's also the truth.