Sex is one of the reasons we have evolved into the most intelligently advanced life form on the planet. Sexual reproduction is defined as "the processes of gene recombination leading to reproduction." This gene recombination promotes genetic variation among offspring.
Genes, carried by every cell in our body, hold the code that helps determine what we become: how many fingers we have, what color eyes we have, our height, the natural texture and color of our hair, the size of our feet etc. In addition to effecting our appearance, we are starting to understand how genes can effect our behavior. Now, I'm going to temporarily simplify human genetics for the sake of explanation. Genes come in pairs. So lets say a mother has an "eye color" gene coded for blue. She would also have another "eye color" gene and let's say it's coded for brown. These genes are a pair because, although they are coded differently, they are coded for the same part of the body. Every gene we have is paired with another in this manner. For each pair only one is expressed. In this case, lets say the brown gene dominates over the blue gene so only the brown gene is expressed, giving the mother brown eyes. Now it's only a matter of chance which gene of the pair is given to the child. So one child of the mother might receive a "brown eyed" gene while another child of the same mother might receive a "blue eyed" gene. In addition it's just a matter of chance which gene the child receives from the "eye color" genes of the father. This produces children with different eye colors. The same differentiation occurs with every other gene in the child's genetic makeup.
Without the existence of sex, we wouldn't be conceived by the combination of genes between two parents. If sex didn't exist, we would have to acquire all our genetic material from a single parent making us identical clones of that parent. A few genes here and there might mutate due to radiation or some other mutagenic factor, but for the most part, we would be replicas of our parents. If sex never existed, our parents would be replicas of their parents. We would all be the cloned descendants of the first human, and thus would all be identical to each other. Furthermore, without the genetic variation supplied by sex through evolution, we would probably still be simple organisms squirming around in the ocean (to be explained in the next paragraph). What a screwed up world this would be without sex!
Fortunately since sex has been a fact of life for millions of years, the genetic variation that sex provides has helped us evolve as a species. If individuals of a population have varying characteristics, then some individuals will have characteristics which make them better fit for survival. As a result these "fit" individuals will survive longer and more successfully allowing them to reproduce more. This will cause more of the overall population to acquire those beneficial characteristics. Thus the population as a whole will be better fit for survival. This process, called "natural selection," allowed our species to adapt to the Earth's environment by change over time or "evolving" into the successful highly intelligent human life forms we are today. Thank goodness for Sex!