Okay...to some, they may have no choice. It might be their religious beliefs influencing them. To others, especially someone like me, I think it's all about respect, not necessarily marriage at all.
People might be proud to be virgins because...
-- They're 'untainted' --> It's like that 'never been kissed' sort of purity, that 'wholeness'...that childhood innocence. Your virginity is the last physical part of your childhood.
-- They have respect for themselves and the one they'll give themselves to. Perhaps they haven't really been in love yet, or fearing the risks & consequences which most of us are exposed to - lack of trust, etc.
Many more reasons, people. I'm not a virgin anymore, but I can tell you that it's been quite awesome, the whole process of becoming a woman in that way. Of course you don't have to get married to have sex, in order to show respect to yourself and your partner, but finding a partner who's willing and has been with you through the thick and thin is quite important for the kind of security which every woman ends up craving for.