Just a few thoughts...
i) If someone is set on marrying a virgin, that is their right. They certainly are not space aliens for expecting such - in most cultures, including decidedly Christian ones, a very high premium was placed on this. Up until relatively recently, even in the west, a huge social stigma was placed upon engaging in pre-marital sex; it was a disgrace, with real social consequences, particularly in regard to one's future prospects. This was particularly true in regard to women. This is unfair (the gender bias), but it is hardly something "strange", and at one time there were understandable reasons for this bias (relating to the legitimacy of children, or ensuring any children born shortly after the marriage were in fact those of the husband.)
ii) statistically, marriages where both partners are virgins do work out better. Divorce rates fall through the floor, even in our troubled western cultures, when one looks at marriages between two virgins. Psychologically, we do give a part of ourselves away when we engage in sexual relations. Obviously, if one has been with people other than their current spouse, some of the exlusiveness of that relationship has been comprimised. This is why in Orthodoxy, one marriage is the ideal, even for widows/widowers.
iii) With the above said, (as Justin wisely pointed out) there is more to this than simple physicality... particularly for Christians, whose interests should rise above tribal/economic interests from days past (which still exist in many societies, such as the middle east and less developed areas), situations which actually result in a vision of marriage which is not by default what a "Christian marriage" is all about. The Christian marriage is actually a very different animal from what normally passes for marriage in other civilizations; it is a return to the Adamic ideal, as Christ Himself indicated when speaking to the Jews. In fact, without this Christian ideal, the utility of marriage as an institution becomes open for debate, since we are no longer nomads or tribesmen who have vested social/economic interests in our offspring, their strict descent from our loins, etc. In fact, it is such a contractual/worldly view of marriage which allowed for the degeneration of marriage into polygamy throughout the world (since there is no good economic reason why a man couldn't have more than one wife to produce legitimate children.) In our culture, this more "tribalistic" view of marriage rings hollow, and in part (along with the decline of the Christian ideal of marriage, corresponding to the decline of Christianity in general) is why promiscuity and the devaluing of marriage as an institution (or confusion about what it's for) has become so common.
iv) What should be of paramount concern when finding a spouse, I would think, is the state of their heart. Virginity is not simply a matter of being physically in tact - virginity signifies (particularly in our sex drenched culture) a great commitment, and no small amount of personal discipline. The mind which see's virginity as being important, is probably more congenial to the Christian ethos in general.
v) However, I think it's also possible to find someone who is repentent of their sins (in particular, sexual sins) and who has, in a manner of speaking, renewed their purity. Perhaps such a person may be a very zealous Christian even. It would be a shame to turn such a person away, I think, because of their past. That however, is up to the person looking for a spouse, and we should respect that decision...I would say finding a genuine Christian, is just as difficult (if not more so) than finding someone who is a virgin...though I'd argue that the two often go hand in hand in our culture (since nothing but some kind of religious conviction would make such an unfashionable virtue practicable in our social climate.)
vi) A little word about "virgins" however. This may sound terribly judgemental, but I question how "virginal" some physically in tact women are, at least in our culture. Growing up, I knew of girls who prided themselves on being "virgins", yet I knew full well they had done lewd, sexual things...just not vaginal intercourse. Is that really a "virgin" in the sense that matters to Christianity? I'd say no, since "purity" (the real virtue behind being virginal) is something far broader than a woman having an intact hymen. On that score, most men and women who are virgins (even the best of them, whose virginity is not simply pharisaical...no intercourse, but practically everything else under the sun) have fallen at some point. Purity is fundamentally something rooted in the heart, which is precisely why it has some independence from physical acts (thus, why a physically chaste person can in fact be impure, or why someone who has been physically unchaste can regain this purity.)