A couple of things happens that makes it feel good. First, the penis has a very large number of nerve endings, which means that it is very sensitive to touch. Humans are social creatures, so touch generally feels good, and so this feeling is amplified by the large number of nerves in the penis. Secondly, in order to promote procreation, out brains release chemicals that include endorphins and oxytocin during and after sex, which stimulate the brain in a positive manner. Your body can't really distinguish what is actually stimulation your penis (ie hand, mouth, or vagina), so the chemicals get released whenever your penis is stimulated to the point of orgasm.
