If an animal must mate to reproduce, the entire future of its species depends on having sex. The most obviously beneficial adaptation for such a species is, therefore, pleasurable sex. While it's difficult to ask them if they enjoy doing the deed, a quick look at their behavior shows that, at the very least, most mammals and birds experience sexual pleasure.
The Big O
When it comes to the question of whether or not animals experience sexual pleasure, the answer is simple: most animals wouldn't take time out for sex if it didn't feel good. They certainly don't choose to have sex in order to make babies as they are not capable of understanding reproduction. All mammals have the physiological capacity for orgasm because they all have a penis or clitoris, and evidence suggests they all experience it. Research with female macaques recorded muscle contractions, facial expressions and vocalizations that demonstrated they do have orgasms. Interestingly, while most male birds lack penises, the male weaver bird has a clitoris-like structure and stimulating it produces orgasm. It stands to reason that males and females of other bird species may have similar structures.
Lovers, Not Fighters
It's a common misconception that animals only have sex in heterosexual pairs and only when the female is fertile. Bonobos were the first to prove this wrong, but when it comes to using sex for interpersonal lubrication, they're far from the only ones who do it. Life-long, same-sex pairings are the norm for some animals, including male lions and dolphins. Both sexes of many primates, including virtually all of the monkeys, seek out males and females for sexual encounters, have sex even when they could not possibly reproduce -- such as during pregnancy -- and tend to resort to it to ease high-tension social situations. These tendencies show that sex serves more than just a reproductive purpose.
Group flings are the in thing for mammals from monkeys to livestock. Woolly spider monkey males line up peaceably to take their turns with females who are in heat. Domesticated female cattle display their readiness to mate by mounting each other, which signals the bulls to come running. Female cats in heat, including African and Asian lions, will copulate with multiple partners up to several hundred times in one day. It is pretty tough to imagine that these reproductively unnecessary levels of contact are nothing but an odious chore.
Can't Get There from Here
It's easiest to make the case that animals experience sexual pleasure when they engage in activities where pregnancy can't possibly result -- as is the case with oral sex. Two male bears from a zoo in Croatia were caught engaging in oral sex -- and these guys weren't the first to the party. Oral sex is well documented in mammals as diverse as rats, fruit bats, horses, goats, dolphins, most primates, cheetahs, lions, hyenas, sheep and cattle.
It can't be reproductive when you don't have a partner, but that doesn't stop females and males of virtually all primate, bird, rodent and livestock species, as well as deer, orcas, dolphins and the many other species who've been caught in the act. In fact, males of almost every domesticated and zoo mammal and bird species can be trained to masturbate into receptacles in order to collect semen for artificial insemination -- with very little provocation. While in this case the ultimate intent is reproductive, the animals certainly don't know this.