Assuming (forgive me, but your question doesn't give details) you are having heterosexual sex, lubrication is essential to allow for smooth movement of the penis. This lubrication is produced natrually from the walls of the vagina, if the woman is sufficiently aroused. If the lubricant is not forthcoming, for a variety of reasons, it can be suplimented by a chemical lubricant. So, the short answer is, yes, sex is better with proper lubrication, human bodies are designed that way.