We report a systematic study of the magnetic field sensitivity of a magnetic sensor based on a single Nitrogen-Vacancy (NV) defect in diamond, by using continuous optically detected electron spin resonance (ESR) spectroscopy. We first investigate the behavior of the ESR contrast and linewidth as a function of the microwave and optical pumping power. The experimental results are in good agreement with a simplified model of the NV defect spin dynamics, yielding to an optimized sensitivity around 2 mu T/sqrt{rm Hz}. We then demonstrate an enhancement of the magnetic sensitivity by one order of magnitude by using a simple pulsed-ESR scheme. This technique is based on repetitive excitation of the NV defect with a resonant microwave pi-pulse followed by an optimized read-out laser pulse, allowing to fully eliminate power broadening of the ESR linewidth. The achieved sensitivity is similar to the one obtained by using Ramsey-type sequences, which is the optimal magnetic field sensitivity for the detection of DC magnetic fields.