Losing one's virginity is a big deal because humans are sexual creatures by nature. We also crave intimacy and emotional connections before forming bonds that could lead to sex. Plus, the couple needs to go about making love properly--the two people had better be prepared for the consequences nine months later if sexual intercourse happens between a heterosexual couple.
A full act of heterosexual intercourse is a big deal, especially for the female. So it really should be understood that this should wait until all precautions have been taken and there is a stable, loving relationship involved at least to some degree so that this does not become trivialized.
I fully understand why it's so important to some people- it just wasn't for me. I know they're not very good reasons, but I lost my virginity because 1) I was curious and 2) I didn't like having the label of 'virgin'. Although I didn't particularly enjoy the experience, I don't regret it because afterwards I felt like the pressure was off (societal pressure I mean). The way I saw it, your first time is unavoidably going to be nerve-wracking and awkward, and so it was better for that to happen with someone who didn't really matter (because then if it was bad, you can just forget about it). If your first time with someone you really cared about was bad, that would be much worse because it could cause problems in the relationship. However, this is another one of those issues which is entirely subject to personal preference and there's no right answer.