Circumcision removes over half the skin of the penis (about 15 square inches or 40 square centimetres, in an adult) and it's not just simple skin. It's packed with nerve endings, special anatomical features like the ridged band and has a unique elastic gliding action, allowing it to slide on itself and act like lube. This action is what most males use to masturbate with. Circumcised males use what skin they have left, except those who are cut so tightly that they have to use lube or just rub it dry. The intact male can stroke the entire length of his penis using his foreskin and also has the option to use lube too, if he wants to. During intercourse the foreskin acts like lube on entry and may act as a dam, preventing lubricating secretions escaping from the vagina. In one study women reported that sex with an intact partner was gentler and more satisfying since he doesn't have to thrust as hard to feel enough stimulation. Removing the foreskin turns the surface of the glans from an inner mucosal membrane to outside skin. Newly circumcised adults usually go through some weeks of intense discomfort as the glans is constantly exposed to rubbing on clothing, until it develops a thicker keratin layer and becomes less sensitive. A recent study has shown real differences in fine touch sensitivity between circumcised and intact penises and that the most sensitive parts of the intact penis are those that would be removed by circumcision.
Another very recent study in New Zealand followed a cohort of boys through life from birth to age 32. About 40% were circumcised. The intact males had a slightly lower rate of sexually transmitted infections than the circumcised but there was no significant difference.
Many women who get to interact sexually with an intact penis prefer the natural state.