In Matthew 22:23-30, Jesus tells us that there will be no marriage in heaven:

Matthew 22:23-30 (ESV)
23 The same day Sadducees came to him, who say that there is no resurrection, and they asked him a question, 24 saying, “Teacher, Moses said, ‘If a man dies having no children, his brother must marry the widow and raise up children for his brother.’ 25 Now there were seven brothers among us. The first married and died, and having no children left his wife to his brother. 26 So too the second and third, down to the seventh. 27 After them all, the woman died. 28 In the resurrection, therefore, of the seven, whose wife will she be? For they all had her.”

29 But Jesus answered them, “You are wrong, because you know neither the Scriptures nor the power of God. 30 For in the resurrection they neither marry nor are given in marriage, but are like angels in heaven.

No marriage in heaven (which means no sex)?  How is that something to look forward to?

C. S. Lewis speaks to this issue in Miracles where he writes:

…I think our present outlook might be like that of a small boy who, on being told that the sexual act was the highest bodily pleasure should immediately ask whether you ate chocolates at the same time. On receiving the answer ‘No’, he might regard absence of chocolates as the chief characteristic of sexuality. In vain would you tell him that the reason why lovers in their carnal raptures don’t bother about chocolates is that they have something better to think of. The boy knows chocolate: he does not know the positive thing that excludes it. We are in the same position. We know the sexual life; we do not know, except in glimpses, the other thing which, in Heaven, will leave no room for it.

Miracles (New York: Macmillan, 1947), p. 160.

So Lewis tells us that while we cannot imagine something greater than sex, God has something far better for us.  If we can trust the God who gave us chocolate, marriage and sex, we can trust the God who has our future in his hands as well.