Because I always have for one. Seriously my earliest memories are of playing in my local Alladin's Castle arcade after getting out of kindergarten class.
Also because I enjoy being a hero. Most games are heroic fantasy, letting you save the day, and be noble and heroic and stuff. I enjoy doing that.
I like playing as the good guy, who risks his life to save others, and make their world/life better. Even though I know they are just pixels and code, I find it enjoyable and rewarding to be able to be the hero in their digital world for a time.