Sexual activity is a complex interaction of sympathetic, parasympathetic, and somatic nerves.

• Ongoing parasympathetic actions dilate the veins draining erectile tissue. In addition, tonic smooth muscle contraction maintains this drainage. During sexual excitation, these actions are reversed to constrict drainage. At the same time, arterial dilatation increases blood inflow to the spongy erectile tissue.
• At the beginning of orgasm, sympathetic excitation of smooth muscle in the tube system of the epididymides, ducti deferentia, and accessory gland ducts all move semen into the urethra, within the prostate. At this time, the sphincter of the urinary bladder is tightly closed.
• Ejaculation results of rhythmic contractions of somatic innervation of the bulbocavernosus, ischiocavernosus, and periurethral striated musculature.
• Analogous actions to the above three occur in the female genital organs.

The above taken from http://gwis2.circ.gwu.edu/~atkins/Neuroweb/sympathetic.html (to be rewritten to avoid copyright problems soon)

So, in summary, sexual arousal is all in your mind, erection is parasympathetic and ejaculation is sympathetic. Got it?