I don't personally have any experience, but was curious once you asked the question. The only thing I could think of off the top of my head was that it might perform the same pleasures as a ribbed condom and if that is the case, why not just buy the condoms. You are right there is not very much information out there about any sexual benefits, but I did find this on another Yahoo! answer. Hope it helps...
"I'm sorry to say this, but if you think that the piercing is going to be giving you more sensitivity, I think you might be a bit disappointed. It's not going to add sensitivity to your penis, it will act somewhat like a ribbed condom does, that is, the piercing gives the penis a different feel and that new sensation can add to your pleasure, but it won't restore any sensitivity you may have lost. Also, a frenum piercing is going to hurt badly, as the frenulum area is a really sensitive part of the penis, so you'll be sore for a while, roughly around 2-5 weeks according to Wikipedia. There are complications, such as infection, or rejection of the piercing, and to me, I would think it could tear easily, because skin, no matter how much of it there is, just seems to me like it wouldn't hold up very well if it was pierced. Supposedly though, if it's done well, these complications shouldn't arise. It up to you though. If you're looking new sensations, just try ribbed condoms or something similar. If you want a new look, go with the piercing. But again, the piercing won't restore your sensitivity. Good luck in what you do, and if you get the piercing, I wish you a speedy recovery."
from Yahoo! user "Oleander"