Sex can happen up against the wall for a variety of reasons.
It can be an issue of comfort. For instance, perhaps the man would like to sit up and the woman would like to sit facing him with her legs around his waist. In this case the man might like to lean against the wall if there's no headboard. Or maybe a couple is just having one of those nights where they feel like trying a myriad of positions and so they try getting up off the bed or chair or couch and standing against the wall, just to note the difference in sensation.
The most likely, and most enjoyable reason for sex up against a wall, however, at least in my opinion is urgency. There is no time to strip all of our clothes off, no time to find the bedroom, even the living room, even the kitchen where we might use the table. We've accomplished a feat simply by making it in from the car and the kind of crazy, hot, hard sex that needs to happen right now will make up for its slight lack of comfort by being fantastically intense.
Actually, I might say that a couple need not necessarily be clawing at each other from moment one in order for sex up against a wall to commence and be enjoyable. In fact, the simple act of going at it so haphazardly (without the care or bother to find a proper surface to do it horizontally) can create the sense of urgency that might otherwise be behind this whole thing in the first place. It's a wonderful self-fufilling prophecy.
Also, the fun of sex up against a wall can be a mere beginning stage. It can simply be the first position, the one that a couple gives into when they first walk in the door but it can be followed by a migration to a more comfortable room where some marathoning can take place. That intensity, that feeling of "we couldn't wait," can have an effect on the entire rest of the evening.