Orgasms feel so good because our body loves that feeling. It is our body physiological response. When we are sexually excited, blood flows to the genitals, resulting in erection for male and, well, erection for female on the clitoris. When you get an orgasm, which is ejaculation for male and something less obvious for female (squirting is a visual indicator, but not everyone does it, the liquid is almost definitely pee released by loosened bladder), the extra blood flows that has been building up gets released all at once, resulting in that intense pleasure we all know and love. However, it has been argued that the sexual satisfaction can be reached at any point of the sex. The orgasm is just the icing on the cake.