The theory is that an uncircumcised penis is more sensitive, because after circumcision, the skin of the glans (head) of the penis comes into contact with the outside world a lot more and "keratinises", or toughens. As a result, an uncircumcised penis is thought to be more sensitive.

However, as pointed out, it's a difficult thing to compare - circumcisions late in life are not common procedures, and there are so many other factors involved in the sexual experience (not to mention that the majority of reasons for late-in-life circumcisions are to do with penile function anyway) it would be hard to pin down one thing as being the cause of an increase, or decrease, in penile sensitivity.