Emotions go hand in hand with sex. When someone is feeling vulnerable, insecure or pressured they might resort to sex to fill their vulnerability. This will always fail. In fact, sexual intercourse can make you much more vulnerable, by putting your complete trust in your partner, and exposing your feelings. Some people usually those who are promiscuous are able to have sex without emotion, for the pure physical pleasure. Others find that their most amazing sexual experiences occur when they feel closest to the one they love. Some people use sex as a weapon or leverage to get what they want. Others use sex to enrich their life in a mutually loving relationship. Others use sex like a drug to temporarily make themselves feel better. There really is no way to have sex and be completely invulnerable to emotional distress. Sex opens people up for major heart breaks. In addition to the physical implications of sex, you should always consider the emotional consequences for you as well as your partner before deciding to have sex.
To prove something: The only thing sex could prove is that you are weak enough to let the opinions of others dictate what you do with your body. What others think won't make you a better stronger person.
To ease your depression or improve your self-esteem: It won't. It will leave you feeling used and only will succeed in further damaging your self-esteem.
To make you more wise or mature: It won't. Wisdom and maturity can be measured by how intelligently and responsible you act. Using your body as a tool to gain wisdom is cheap and foolish. First use your mind, and understand that the people who try to make you feel insecure by boasting about their sex life, invariably have little to boast about. They most often are trying to make up for their own insecurities, and unfortunately are sacrificing their integrity by doing so.
To make someone love you: It won't. If someone prefers chocolate ice cream over vanilla, you can't make them like chocolate ice cream by giving them lots and lots of vanilla. If someone doesn't love you, they still won't love you after you expose your deepest emotions and feelings to them as you do when having sex. There are around 250 million people in the U.S. alone. This person is not the only person you will meet and fall in love with. Wait for someone you love, who also loves you back.
To hurt someone else: You will probably be the one who gets hurt in the end. The person you are trying to hurt will only realize how low you can stoop. It's easy to get over someone you don't admire, thus it will be easy for them to get over you.