It's true that sex feels different without condoms, but it's also true that the long-term effects of HIV or the more immediate effects of an STD doesn't feel good either. If your sex partner is HIV-positive, has an unknown HIV status, or is someone that might be having sex with other people, then it's worth protecting yourself. The key is to have a healthy sex life, which means protecting yourself and enjoying yourself.
There are a couple of things you can do to make condoms feel better during sex. Adding a drop or two of lube inside the condom or on the head of your penis before putting it on can help increase sensation, and make sure your sex partner's butt is also lubed up. Water-based lubes can dry up or get uncomfortably sticky sometimes, so don't forget to add more while you're having sex. You can also try silicon-based lubes for longer sex sessions - a little goes a long way, it's less likely to dry up, and can even stay slick in the shower. Overall, be sure not to over-do it with the lube inside the condom... you don't want it to fall off!
Sometimes its about the size, thickness or material of the condom - not all condoms are made alike. Explore using condoms that are made thinner than others, as thick ones tend to decrease sensation. It might also be worth checking out polyurethane condoms (both male and bottom versions), as they transmit heat better than latex condoms and are often thinner (though polyurethane doesn't stretch as much as latex).