Most people think that the hydrogen bonds are what hold DNA together. While they are important for the overall stability, other forces actually drive the two strands to form a helix.
Do you remember why oil forms droplets in water? Or why lipids form bilayers in water?
Nonpolar molecules want to phase separate from water.
The base part of a DNA monomer has some nonpolar ("oily") character (does it look a bit like benzene?).