Sex brings two people together by fostering and demonstrating trust. The closer you get to another person -- physically, emotionally -- the more vulnerable you become. By having sex with someone, you trust her or him not to take advantage of you, to hurt you, or to degrade you (unless it's consentual; vulnerability play is integral to BDSM).
If it all works out, then the two of you become even closer through sex, and it brings a whole new depth into your relationship. If it doesn't, though, the scars can be pretty wicked.