It is interesting because science has discovered, mostly in the last decade, literally a dozen major ways that sex is good for you. I want to go into here three of the most important for us guys.
This is critical to understand, because there are guys who have become discouraged with relationship(s), are depressed, have given into erectile dysfunction and other things to where they have turned themselves into a modern day monk without sexual activity. I am going to show below that a life without sex is dangerous.
You are literally wired from puberty on and the ground up for a lifetime of sexual activity. By the way, I emphasize a lifetime of sexual activity because that's one of the things Peak Testosterone is all about: giving you the tools you need in order to stay healthy, fit, full of energy
Below is what one might call the Big Three List of the just what the studies show sex does for men. I would argue Sex is on an equal, or very nearly equal, footing with diet, exercise and sleep with regards to your health.
NOTE: Show my page Why Sex Is Important for Women for other great reasons to spend more time in the bedroom.
1) Sex Raises Testosterone. I discuss this at length in this link about How Sex Increases Testosterone. One of the reasons for this is explains why sexual intercourse is so much more satifsying than masturbation. The reason? Simple - four times as much prolactin is released after intercourse.  And this applies, perhaps counterintuitively, to both males and females. Prolactin is associated with sleep, which is likely one of the reasons we sleep so soundly after intercourse, and sleep is one of the Best Natural Ways to Increase Testosterone. In addition, prolactin itself may increase testosterone levels to a certain extent as well.  Another reason is likely the chemical soup released during orgasm, including vasopressin, prolactin and dopamine may stimulate testosterone in ways that we do not understand yet. We already know how much Attitude Boosts Testosterone, for example.
2) Sex Boosts Erectile Strength. This is due to a variety of factors including exercising the pelvic muscles, boosting neurotransmitters, lowering stress, improving sleep,, increasing testosterone and much, much more. Please read my link on How Sex Fights Impotence and Erectile Dysfunction for more information.
3) Sex Is Associated with Less Heart Disease and Other Cause Mortality. One 1997 Welsh study found a 50% reduction in mortality for guys with the most orgasms versus the guys with the least.  Furthermore, the relationship was dose-dependent, i.e. the more orgasms the more protection - an indication of a true correlation. Mortality studies are extremely important and considered by many the "Gold Standard" for health. After all, extending our life span is certainly one of the most important things we can seek after in fitness and health. Dr. Oz, of Oprah fame, looked at this study and recommended guys have around 200 orgasms per year. After hearing that suggestion, he's the Wizard in my book...
4) Sex Improves Blood Pressure Response. That's right - researchers found that penile-vaginal intercourse (PVI) improved stress reactivity, i.e. arterial blood pressure response to stress.  And you thought research was dry and boring? Now it's important to not that only PVI and not other sexual activity had this effect. I have already written to the department chair asking if they need volunteers for any follow-up study work.
5) Sex Increases Sensitivity. Oxytocin is released from touch, as I cover here, and a nice burst during orgasms in both men and women. It is known as the "love hormone" because it creates feelings of bonding, intimacy and empathy. And let's face it: most of us guys could use a good dose of all three.
6) Sex Reduces the Risk of Prostate Cancer. In one study men who ejaculated over 21 times per month had a significantly reduced risk of prostate cancer.  As a side note, we know that sex raises testosterone so notice that this implies both sex AND testosterone are good for the prostate. (Yes, it could be stress reduction and other factors, but this ties in with the fact that HRT, i.e. testosterone therapy has not been shown to increase cancer risk.)
7) Sex Boosts Immunity. Yes, indeed, one study of healthy young males revealed a signficant increase in natural killer cells post-orgasm.  Other studies have shown an increase in IgA, one of your body's automatic weapons against colds and flus. 
CAUTION: Recent research shows that having sex more than a couple times per week may actually regress this immunity boost.  This may be because opioid peptides, which sex stimulates, boosts immunity in moderate doses but actually acts as an immunosupressant at higher levels. What about the studes that say that show a dose-dependent reduction in mortality as you increase orgasms per week? Unfortunately, these studies have maxed out at about two times per week and this is the first study that shows there may be a point of diminishing returns. However, this may be a cause worth dying for, eh?
8) Sex May Grow Your Brain. Increased stress levels increase cortisol and cortisol is a known hippocampus-shrinker. Researchers recently decided to show in a study of rats that repeated sexual activity would increase stress hormones and shrink the rats' hippocampus. And it would serve 'em right, don't you think? Instead scientists found that stress hormones increased for a few days, decreased to normal levels and then something surprising happened: the rats hippocampus starting growing! They conclused that repeated sex, for these lucky adult male rats, "stimulated the growth of dendritic spines and dendritic architecture." C'mon - if a bunch of rats can do it, why can't you? 
9) Sex Lowers Stress Hormones. The study above found that the lucky rats had lowered levels of the nastiest stress hormones called glucosteroids.  In fact, they speculated that this may be one of the primary reasons that sex caused the brain cell growth. A number of studies have shown that immediately after sex, cortisol actually increases. However, this study indicates that in the medium term, the picture becomes significantly different. This may be because an orgasm release oxytocin and oxytocin lowers cortisol. 
10) Decent Exercise. A recent study shows that the typical guy will burn about 101 calories per love making session.  That's enough to significantly help with weight management and the researchers even noted that it achieved moderate exercise intensity.
1) BMJ, Dec 20 1997, 315:1641-1644, "Sex and death: are they related? Findings from the Caerphilly cohort study"
2) Biological Psychology, Feb 2006, 71(2):214-222, "Blood pressure reactivity to stress is better for people who recently had penile vaginal intercourse than for people who had other or no sexual activity"
3) Biological Psychology, Mar 2006, 71(3):312-315, "The post-orgasmic prolactin increase following intercourse is greater than following masturbation and suggests greater satiety"
4) Journal of Clinical Endocrinology & Metabolism,47(2):447-452, "Effects of Prolactin and Prolactin Plus Luteinizing Hormone on Plasma Testosterone Levels in Normal Adult Men"
5) JAMA, 2004,291:1578-1586, "Ejaculation Frequency and Subsequent Risk of Prostate Cancer"
6) Neuroimmunomodulation, 2004, 11(5):293-298,"Effects of Sexual Arousal on Lymphocyte Subset Circulation and Cytokine Production in Man"
7) BBC News, "Sex The Cold Cure", Wednesday, April 14, 1999
8) PLoS ONE, 2010, 5(7): e11597, "Sexual Experience Promotes Adult Neurogenesis in the Hippocampus Despite an Initial Elevation in Stress Hormones"
10) Psychology Today, Mar/Apr 2011, p. 42.
11) PLoS ONE, 8(10):e79342, "Energy Expenditure during Sexual Activity in Young Healthy Couples"