Mostly because of Tradition! It is said that the greatest act to seal a married couples love and become truly one is to make love. The simple act of making love makes both of them get to know each other more. This is also the reason why many believe that a woman should be a "virgin" until her first night of marriage because she is expected to love only one person for the rest of her life. Another reason is to go further the next step, Parenthood.
The idea is based on the idea that a marriage should be consummated before it can be considered a real marriage. Among royalty of yesteryear, things went so far as to have, if not relatives, but men of the court by the bedside witnessing the act of consummation.
To "Consummate" the marriage.