An article from Psychology Today makes an interesting statement. Women who don't use condoms are less depressed than those who do. The article says:

The finding that women who do not use condoms during sex are less depressed and less likely to attempt suicide than are women who have sex with condoms and women who are not sexually active, leads one researcher to conclude that semen contains powerful-and potentially addictive-mood-altering chemicals.

The reason?

Semen contains hormones including testosterone, estrogen, prolactin, luteinizing hormone and prostaglandins, and some of these are absorbed through the walls of the vagina and are known to elevate mood.

This doesn't give licence to go hog-wild in the sex department, though; One Man's Blog warns:

.....it should first be stated that the benefits derived from sexual activity are more than offset by the risks associated with a promiscuous lifestyle.

That is to say that researchers almost universally agree that a healthy sex life is normally only beneficial in terms of monogamous relationships