Nothing is wrong with you-- some women get wet others don't== and that is what lubrication is for.. It may be hormonal, however, so you might want to see a doctor to test your estrogen levels and see if they are low-- but commercial lubrication is just fine and feels as good-or better- than biological lubrication.
You might consider, however, if you are taking any medicines that dry you up. Anti histamines will dry up your vagina as well as your nose, and birth control pills also can have that effect.
A visit to your doctor can tell you a lot about how your body is working-- and I advise you to go get a work up. But in the meantime- don't get upset about using lube- it's a perfectly good solution; one other possibility your doctor might suggest-- if you have not had any kind of cancer, or a history of cancer in your family, he or she might suggest a topical estrogen cream for the vagina which will plump up those tissues and help create a smooth, lubricated surface. Ask your physician when you go in to find out more about this.
The above advice is very good. Here is some additional reading on the subject -
(Note: The article covers more than just birth control.)
==>Can birth control pills cause vaginal dryness?
http://health.ivillage.com/gyno/gynobc/0,,3pbh,00.html
Here is a two-question/two-answer discourse that is very detailed, but the questioner is an OB nurse herself so the person answering gave medically-based answers -
(Note: You'll need to skip down the sections to see the following title.)
==>Vaginal dryness affecting sex
http://www.wdxcyber.com/m3sex.htm
That last link looks like such a great web site that I want to post the main home page link -
==> Gynecology Resource
http://www.wdxcyber.com/Gyno_home.html
==>The Vagina
http://www.naturalvigor.com/vagina.html
==>Vaginal lubrication
http://en.wikipedia.org/wiki/Vaginal_lubrication
==>Vaginal dryness
http://www.cnn.com/HEALTH/library/DS/00550.html
==>Vaginal dryness
Some medications can cause dryness, and some women just get wetter than others. Regardless, using lube is always an excellent idea. However, I'm wondering if your issues are more than just lubrication. Can you comfortably wear tampons? Insert your fingers? How about have comfortable pelvic exams? You might google vaginismus to see if that resonates for you--it's an involuntary tightening of the muscles around your vagina, a physical response to anxiety. Some people say it feels like hitting a wall. Generally speaking, it can make intercourse uncomfortable to impossible.