The muscles in males and females that give you most of the orgasm you experience are the bulbospongiosus and ischiocavernous, perineum and anal spincter. Te prostate doesn't contribute much (if anything) to the feeling of orgasm.
The orgasm you feel is primarily a result of pudendal nerve stimulation and it's resultant effects on the pudendal innervated muscles: bulbospongiosus, ischiocavernous, perineum, and anal spincters.
Kegel exercises can work the bulbo, ischio, and anal sphincters. Kegels often result in heightened sensation and more powerful erections (bulbo and ischio are also very important for erection strength) and orgasms.