Because I get to experience and do things I other wise cannot do in real life. To me, it's the ultimate form of entertainment. It's got the music, the art, the movie like quality, and all of this with the interactivity. I know it's a minority opinion, but I get more from games than I do from music or movies.
For example, the reason I love rpgs, is because I get to go on adventures and do things in the games that I could only dream about. It's a magical feeling for me. I'm sure everyone else doesn't agree with that..