I have heard many times that one should save oneself for marriage. That keeping your virginity for your spouse is a great gift (this is more often aimed at women, however I will not go into that now as this is a post about general sex and not double standards and misogyny). But I see this as a very unhealthy attitude to hold, both physically and emotionally.
Say you have found the man/woman that you want to marry. You both abstain from sex until after your wedding. Finally the big night comes, but instead of being a wonderful experience, all you can think about is how horrible and disappointing the experience was. This sadly happens more often then we are led to believe. Sex is a great emotional outlet and source of bonding, while bad sex can have the opposite effect. One or both (I am assuming monogamy for this post as most developed countries do not allow polygamy) of the partners will be left feeling unfulfilled sexually which leads to sexual frustration, possible resentment towards their partner (or anger at yourself if you believe it is your fault), both partners will not get the emotional connection sex grants a couple, and they will not have sex as a bonding agent after misunderstandings and arguments.
This leads to a higher divorce rate, a divorce that could have been avoided had the couple simply had sex before the got married. Many of those that do not divorce (usually for religious reasons, the same causative agent of the chastity) are left will a less then satisfactory marriage that leaves them craving emotional closeness.
Some will argue that two people will get better at sex over time and many people do, but that does not address the key issue here. Even if there is an improvement in performance, the two individuals sexual tastes or libido can still be utterly different. These do not change. A person can force themselves to do something they do not truly enjoy for their partners sake, but this leaves both unfulfilled (the one who is forcing themselves for obvious reasons and the partner who wants the encounter as a forced situation is invariably worse or less convincing then honest enjoyment). A person who enjoys a lot of kink during sex will not feel satisfied being monogamous with someone who only enjoys vanilla sex and vice versa.
As long as one practices safe sex, the risks of premarital (or extramarital sex if both married partners are consenting) will be outweighed by the benefits. Both individuals will have most likely gotten over the awkwardness of sexual encounters due to inexperience. Their sexual aptitude will also increase dramatically as by the time these individuals get married they will have begun to understand each others likes and dislikes.
Aside from the emotional reasons not to wait for marriage there is also a physical reason. A person who has sex regularly (in the referred study regularly was only once a week, greater frequency will have better effects) are less likely to get sick, they get over illness quicker and have a stronger memory and critical thinking skills (due to stress relief and greater amounts of neurotransmitters). Another recent study found that individuals who were still virgins after the age of 21 had more health issues then those who have had sex at least once, reinforcing the previous study.
No matter your gender, waiting for marriage to have sex is ill advised. Of course many of the emotional benefits only pertain to sex with an individual you have strong feelings for. Females need not wait out of fear of being considered a whore and males not need wait thinking abstaining somehow shows more respect to their partner (this is another form of misogyny that I will try to get to at a later date). In this post I have mostly used heterosexual monogamous couples as examples, however the concepts will equally apply to those who are homosexual, bisexual or polygamous. Also as to not give the wrong impression, I am not advising having sex before one is ready for it, that is always a must. Just my reasoning against abstaining until marriage.