The Gemara forbids relations during the day or by the light of a lamp (Niddah 17a). According to tradition, relations should take place at night and in the dark.
Why is one not allowed to have the light on when he's engaged in marital relations?
The Gemara there explains:
אמר רב חסדא אסור לו לאדם שישמש מטתו ביום שנאמר (ויקרא יט, יח) ואהבת לרעך כמוך מאי משמע אמר אביי שמא יראה בה דבר מגונה ותתגנה עליו
It is forbidden to have relations during the day, as the verse says "You shall love your fellow like yourself." What does this imply? (Meaning, how does that verse imply such a prohibition?) Abaye said: Perhaps he will see something disgusting about her and she will become repulsive to him.
Having relations while it is light may cause him to see something that repulses him and causes him to dislike her.
Rav Huna gives another explanation:
אמר רב הונא ישראל קדושים הם ואין משמשין מטותיהן ביום
[The people of] Israel are holy and do not have relations in the day
Rashi to Shabbos 86a explains:
דבעי צניעותא שלא יסתכלו
It requires modesty, to not look