One of the arguments for the existence of God is that morality is explained better by the existence of a God who formulates a moral code which is planted within us, than by any purely naturalistic explanation. If God does not exist, then where does our morality come from?
Philosophers have been puzzling for many years (centuries?) over this question, and there have been many attempts to come up with naturalistic theories of morality. Some of these theories are relativist theories, which say that there is no absolute right or wrong but that these are defined by the culture, personal or historical setting in which we are found. Others are utilitarian theories which define right actions as the actions which attempt to maximise (or minimise) a certain function over the population, for example, those actions which lead to the greatest happiness of the greatest number, or to the minimisation of harm. Still others are variations of the Golden Rule (do unto others as you would have them do unto you), such as Kant's formulation that goes along the lines that you should only do those actions which you would be happy about being made a universal law. I'm sure there are many other theories out there, feel free to enlighten me if you know of any more.
The problem with all these theories, according to the theist, is that whereas they may or may not give an accurate formulation of right or wrong, they still do not explain why we should do what is right, however defined. For example, if it is wrong to kill a person to steal their money because the harm caused to society by the murder would outweigh the inconvenience to me of being less well off, why should I care about society as opposed to my own welfare?
There are responses to this, for instance to say that I can never be sure that I won't get found out, which would in the long run be a greater inconvenience to me than having less money, whether it be by a prison sentence, or by being ostracised by society. Or alternatively, that psychologically I would be comparatively worse off, because of the person I had become, or the guilt I would suffer. But I don't think these are adequate, because we can always hypothesize a perfect crime, which would never be found out, or someone with no feeling of guilt.
So is this an insurmountable problem for Naturalism then? That naturalistic theories of morality cannot adequately explain why we should do what's right instead of what's wrong? Maybe, maybe not - I don't know. Maybe someone will come up with such a theory; maybe someone already has and I don't know about it. Maybe there never can be such a theory. However, I don't think that matters too much, because I don't think Theism can account for it either!
Let's ask the theist: "Why should we do what's right instead of what's wrong?". The theist will probably respond along the lines that God has created a moral code for us, either written down in the Bible, or in our hearts, or probably both, and given us a conscience so that we know when we've done right or wrong. But then we can ask the question "but why should we obey this moral code?" The thing is that whatever the theist responds, we can keep asking the question "but why should we do that?", until we eventually get to a selfish motive, or a mere assertion that "we just should!" The point being here, that neither of these is any more satisfactory than the naturalist position, the former being no different to the selfish motivation in naturalist theories, and the latter not answering the question at all!
Here's an example dialogue:
Naturalist: Why should we obey the moral code?
Theist: Because God commands us to obey it.
Naturalist: But why should we obey God?
The theist now has the option here of saying "we just should", or giving a selfish motive.
Theist: Because if you disobey God, he will punish you, and if you obey him, he will reward you.
Theist: Because God knows what is best for you and this is the only way for you to be happy.
And so on... whatever response the theist gives, it can be reduced to either a selfish motive, question-begging, or an opportunity for another "why should we do that?" question.
In conclusion, that naturalistic moral theories cannot explain the 'should' of morality should not be a huge problem for Naturalism, as Theism cannot account for it either.