Honestly? Because it absorbs you. It takes you in.
Think about Gears of War for just a second, if you've played it. Did you feel like you were exploring a world? In spite of all the epic backdrops and expansive cavern systems, you didn't feel like you were in anything big. You were just following paths.
Now Half-Life 2. Sure, you're still following paths, but now the paths contain a story of their own: from a smouldering car pile-up to an abandoned shack or a body floating slowly face-down in a river, the game tells a story beyond the actual plot.
I'm often quite shocked by how much people discount the importance of environment and atmosphere in games, when they're the elements responsible for all the immersion you feel - if any - when you play. I'd say Half-Life 2 was among the first shooters to give you a world that wasn't shallower than a puddle, and the means to interact with it in a way that was inviting and yet ominous at once.
Half-Life 2 wasn't just a first-person shooter. It was a story, and a world, of its own.