First things first: We have not got any form of ownership over our sexual capabilities whatsoever without Hashem granting it. Every last detail of it, from physical to spiritual and beyond, is all something He made, He sustains, He provides, and He controls for us; sharing them from Himself, because only He can and we absolutely can't. So by answering this question about what's "in it for me to do this", I am not meaning to invalidate this point that it's not about us in the first place :)
Rav Melamed states the following in Peninei Halachah, Simchat Habayit U'Virchato
שני צדדים ישנם בעוון הוצאת זרע לבטלה. מהצד הגלוי, הוא פחות חמור מחטאי
ניאוף ושאר החטאים שקצבה עליהם התורה עונשים, מפני שבפועל הנזק שנגרם
ממנו פחות חמור. אולם מהצד הפנימי, חטא זה מבטא את שורש כל הרעות, את שיא
התאווה האנוכית שפוגעת באופן העמוק ביותר באמונה בה' ובאהבת הבריות. שכבר
למדנו (א, ה-ו), שהפירוד הוא יסוד הקלקול שבעולם. הוא מתחיל בריחוק שבין
הבורא לנבראים ונמשך לפירוד שבין הברואים. ולכן מצוות "וְאָהַבְתָּ
לְרֵעֲךָ כָּמוֹךָ" היא "כלל גדול בתורה" (ויקרא יט, יח, ספרא שם), שעל
ידה מתקנים את העולם כולו. ורק בין בני הזוג מצוות האהבה והאחדות מתקיימת
בשלימות, ותמציתה בחיבור שבמצוות עונה (לעיל א, א). וזה עניינו של יצר
החיים הזה שבין איש לאשה, שעל ידו בני הזוג פורצים את חומת האנוכיות,
ומתקשרים זה אל זה באהבת אמת, והשכינה שורה ביניהם, וחיים וברכה נמשכים
על ידם ממקור החיים ועד סוף כל הדורות (לעיל א, ד).
There are two
dimensions of the sin of masturbation. On the surface, it is less
severe than adultery and the other sins for which the Torah prescribes
punishment, because, in practice, the damage caused thereby is not as
grave. However, from the interior perspective, this sin reflects the
root of all evil, the ultimate self-centeredness, which most
profoundly impairs a person’s faith in God and his love for other
people. As we have seen, detachment is at the root of all ruin in this
world (1:5-6). It begins with the distancing between the Creator and
His creations, and continues with detachment among His creatures. This
is why the mitzva to “love your fellow as yourself” (Vayikra 19:18) is
a “major principle of the Torah” (Sifra ad loc.), for it repairs the
whole world. It is only in the spousal relationship that love and
unity reach their complete fulfillment, and its essence is when they
unite in the mitzva of ona (above, 1:1). This is the meaning of the
life-giving impulse that exists between husband and wife, through
which the couple breaks the walls of egotism and connects with one
another with true love. The Shekhina dwells with them, and through
them, life and blessing extend forth from Source of life to all future
I haven't highlighted anything in specific because I think the entirety of this should be read. Aside from the previous sections that detail how it is likened to murdering one's children, it prevents one from greeting the Divine presence and having eternal life, and is impossible to repent for* (Zohar I 219b, 62a, SA EH 23:1), the root of all of the above comes from the darkening of one's soul and body that comes from this particular sin.
What it does most powerfully is it makes one self centered**, which blocks one from being able to relate to God, and Godly goodness, i.e. connection with true love. The true goodness and pleasure of Ona, which is what this aspect of our body and soul is designed for, cannot be accessed. It's a bitter irony, when a person seeks sexual pleasure, they are able to steal a tiny remnant of a memory of it, but the price they pay is they never actually get to experience it properly as the enjoyment of the mitzva of Ona is lost to them. They lose the very thing they want.
It dulls the soul and the body and life becomes uninteresting, tasteless, numb, all the vitality of their body that they remember from before they did this sin is nothing but an occasional nostalgic memory. The disconnection is the beginning of the end, as cynicism and apathy to life is death, and the beginning of everything on "that side", ch'v.
Ta'anug, pleasure, actually is the highest of the high of spirituality and even Godliness. It's the inner aspect of the crown of the sefirot, and it's expression in intimate relationships is the pinnacle of its holy purpose, so to speak, and this is similar to what Rambam stated in the source brought by Shmuel in his answer. Misusing it is therefore the foulest of all crimes, as I've heard many times in chassidic discourses.
So, even though there doesn't need to be, in Hashem's eternal kindness there are plenty of good reasons to not steal any sexual pleasure from the life Hashem gave us (and let's not forget that this affects our soul mate as well)! We have to trust His Torah and His intended way of using the gifts in life He gives us, and the advice of our sages, and our grandparents and put in the effort to build a holy intimacy in the way Hashem commanded us and we will see the truth of His words of what's so great about goodness and holiness, Oneness and intimacy.
* See this comment.
** not because masturbation is "loving oneself" (it's not, it's more like "imaginary relations"), but more to do with the fact that one is seeking one's own pleasure. Heard this point in a shiur from Rav Manis Friedman.