For some people, there is a significant emotional gain from formalizing the relationship. For the religious, it sanctions their sexual intercourse and means that any offspring are seen differently. But it's mostly psychological stuff.
Supposedly it is a protection against depression, even when compared to cohabiting. Interestingly, it is supposedly better for men than for women, again even when compared to cohabiting.
Married people have longer lives, they tend to be healthier,
But a lot of this turns on how the individuals defined what a marriage is for. Also, there's some correlation vs. causation stuff that's tough to tease out but, in general, marriage seems to provide some benefits to the married individuals that are akin to a strong social network only moreso and cohabitating doesn't seem to produce the same to the same degree.
Obviously, with something like marriage, it's going to be very dependent on the individuals involved.