Well for starters, it feels really, really good. If you can find a good, considerate partner, it can be mind blowing. Literally, you can end up just lying there for like an hour thinking 'Damn that was good'. Sure, you can get [bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse] with masturbation and it's a lot less trouble, but it's like going to an awesome movie--way more fun if you're with someone else. I actually can't think of anything that compares on a pleasure level. Trust me, there are a lot more physical sensations to explore than hugging.
Granted, most of that depends on the person you're with. As one sex advice columnist so adequately put it, the best partners are GGG--Good, Giving, and Game. If you don't have a good partner who makes an effort to make it a good experience for you, sex is just a lot of sweaty humping and not particularly fun.
As for closeness and feeling connected, well, it doesn't get much closer than being inside someone. It's not something that can easily be described but yes, sex will make you feel closer to someone you love than a hug will. It's more intense. Besides that, science has proven that sex releases chemicals that cause you to feel even more strongly for the person you're having it with. Love is all chemical, not that that makes it less real!
On the health side, [bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse] are actually good for you. Women who regularly have [bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse][bless and do not curse] tend to be healthier, both mentally and physically, than those who don't. (I don't know if it's the same for men, but I would assume so.) Part of that is that it's just a great stress reliever.
It sounds a bit like you've not only not had sex, maybe you've never masturbated. In which case I heartily suggest giving it a try. Not only will you burn off stress, you'll be ready when you eventually do get a partner to tell them what kind of things you like, what feels good. Good sex depends a lot on communication and knowing your own body. It ain't like the movies, where the love interests get it right on the first try, warm light effects and moving sheets and tadah! Happy people in a tangle. Nope. First time you have sex with anyone is probably going to be an awkward series of trial and error. That's kind of what makes it fun though.