Why can't I reach climax?

I've never had an orgasm through vaginal intercourse, and I know few people actually do. Well, I've never had one at all, really. Whenever I masturbate I use my "magic wand" type massager, which is always a sure fire way to get me feeling good, but it's more like...good feeling, great feeling, great feeling, poof! gone. Nothing. Then I just repeat that with those few moments of feeling good, but never actually hitting an orgasm. I do this until, I get tired and then always end up just giving up. This is so annoying! Why can't I orgasm?