From which ancestor species did humans inherit orgasm?
Let's assume that pleasure from sexual intercourse might be indicative of some sort of orgasm. Then this would suggest that any evidence of autoerotic behaviour would point to the existence of orgasm, or certanly physical pleasure.

I found this quotation on the Wikipedia page for Animal sexual behavior, amongst a lot of information about mammals :


  Many birds masturbate by mounting and copulating with tufts of grass, leaves or mounds of earth...


apparently from Bruce Bagemihl: Biological Exuberance: Animal Homosexuality and Natural Diversity. St. Martin's Press, 1999. ISBN 0-312-19239-8

If this is taken to imply that the last common ancestor of birds and mammals experienced this pleasure then we have got fairly deep into evolutionary history, although not as far as fish.