Actually, evolution explains that perfectly! Those early mammals who, due to small variations in physiology or whatever, experienced more pleasure in procreation did so more rapidly, and came to dominate the population.
The explanation for the pleasures of procreation is similar to the explanation for the peacock's tail and other displays that carry a cost. Sexual preferences AKA sexual selection explain a whole bunch of behaviors and physical characteristics in nature.
You can read a lot more about sexual selection in the book Why Is Sex Fun? The Evolution of Human Sexuality by Jared Diamond.