According to this article from Forbes there are many benefits of orgasm and sex. You have an improved sense of smell, reduced risk of heart disease, weight loss (sex is exercise after all), reduced depression, pain relief, a better immune system, better teeth, a happy prostate, and better bladder control.
In a study in 2001 a study found that having sex three or more times a week, men reduced their risk of heart attack or stroke by half. You can burn up to 200 calories which is about as much as running on the treadmill for about 15 minutes.

You can read more about it here.