@Intel Yes sex, I meant sex of course, it just sounds rude
!
@Northernbeachbum Yes I'm very glad I found out. I had convinced myself I knew the sex and I was wrong (I have an uncanny ability to incorrectly guess the sex of other people's pregnancies - I usually have a "feeling" and I am literally always wrong, thought I might be right with my own!) and it would have been a shock requiring adjustment at birth!
Secondly I do feel more bonded to the baby - not that the sex determines what the baby is like as a person, but it feels less like a personal connection when referring to a "he/she" or even an "it". Now we know the name the baby will have. My DH feels the same way. It all just seems more real when you can visualise and name the little person, I think that's probably the same for our families too.
When we announced the pregnancy we already knew the sex. This also had the advantage of cutting off any ill-judged comments that might have been made about other people's sex preferences (not that I care what anyone else might prefer us to have, but I would find it irritating!). See @Intelinside, this sentence definitely sounds rude! 
I do feel a bit depressed when I see the threads saying, "I have to find out the gender so I can buy the pram, cot and clothes and so I can start to decorate the nursery." I hate the idea of children being so deliberately and positively stamped as pink princesses or blue superheroes from birth. So that was no part of my decision!