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I remember reading a Discover Magazine article asking the same question.  The author was confused on how sexual reproduction evolved considering the fact (belief of the author's?) that asexually reproducing organisms can reproduce faster and should win out over sexually reproducing organisms.  The organisms in the article were divided into sexually and asexually reproducing organisms.  I think a large part of the author's confusion was the fact that he/she neglected the large number of organisms that are capable of both sexual and asexual reproduction.  It appears that asexually reproducing organisms appeared on earth first then these organisms developed the ability to exchange genes with other organisms while retaining the ability to reproduce asexually ( for example bacteria).  Later, the gene exchanging mechanism evolved more and more into what appears to us as sexual reproduction.  Look at Volvox and Algae. 

The sexually reproducing organisms that can't reproduce asexually may have evolved from the asexual/sexual organisms and lost the ability for asexual reproduction probably because they have a niche and/or developed defenses that allow them to effectively compete with asexually reproducing organisms which are mostly single celled organisms. 

Genetic variation in asexually reproducing organisms requires mutations which are mostly disadvantagious or fatal.  With sexual reproduction, organisms in a large group can have varying degrees of genetic distribution among individuals which can change in response to changes in the environment. 

Here's an example of a genetic condition that may be advantagious in one case but disadvantagious in another case.

http://www.learner.org/channel/courses/biology/textbook/humev/humev_8.html

 

 

I recently thought of another wow answer to the naïve question which assumes there is only sexual and asexual reprodution.  Imagine one bacterium reproducing itself entirely by what we call asexual reproduction and eventually forms a 150 lb. mass of a trillion bacteria cells.  Are you impressed or even scared that these little beasties can do this.  But wait!  You came from one cell we refer to as a fertilized egg cell that your mother supplied and your father fertilized.  This cell divided into a trillion cells forming your body all without the need of any more sexual reproduction.  All throughout your life, many of these cells retain the ability to divide into more cells.  Each cell in your body carries a complete copy of the same genes that were in the origional egg cell you came from, unless some defects occured along the way.