Being able to control my pubococcygeus [or 'pc' for short] muscle has caused great improvements in sex and masturbation for me. By relaxing it I'm able to spend more time having sex with my girlfriend and by keeping it either relaxed or tensed during ejaculation feels good too. The pubococcygeus muscle is between the testicles and the anus and controls ejaculation. Most 'muliti-orgasmic man' type books and Taoist sex books go more in depth about exercises and techniques.
To locate the muscle, while urinating stop the flow midstream. The muscle which you flexed between your legs is it. Try exercising it daily to GRADUALLY improve strength and control. When exercising it try not to contract any other muscles. I find that it's sometimes easier to do sitting down.
Some books for developing male multiple orgasms say something about keeping the muscle held down as hard as possible throughout orgasm to be able to keep on going, but I haven't mastered the technique to be honest.