Here in Florida, sand fleas are little crab-like creatures that burrow into the sand at the shoreline. They don't bite and are quite adorable, actually. The bugs that come out and bite you at night are gnats, aka no-see-ums.
I have had sex on the beach, not at night, and it's not all that great. Sand is a huge drag. But, like tippler said, having sex while floating around in the water can be very nice.