Because I feel a kindred spirit in the character I am assigned or create to play. I don't mean in the sense that I hold the same ideas, notions, or personality as the characters but in the sense that we're both in this for the long haul; no matter how much contrived BS is put in our way. I don't so much play games to put myself in the roll of the character, but as that voice in the back of their head that groans loudly at a new set of doodads being assigned to collect, or cheering when they do something particularly badass
For example: I was playing Bioshock Infinite earlier tonight, searching every nook and cranny along the way like a starving raccoon, when I stepped into a men's bathroom where Elizabeth wasn't allowed to follow. As I proceeded to systematically ransack the place, while the attendant dozed quietly by the door, Elizabeth asked three separate times if Booker was done yet and each time he replied no. On the fourth inquiry, before Booker could respond, I shouted at my screen, "Quiet damn you, we're searching for doodads."
On another occasion back during Wrath of the Lich King on WoW, there's a chain of quests where you're helping out a captured troll prevent his people's most sacred relics from falling into the hands of the Scourge. The chain culminates in a dungeon where, at the end, you summon him inside where he performs a ritual to cleanse the dungeon of the Scourge's taint. Except it was all a ruse and you actually just wiped out the last bastion of Troll resistance in that particular part of Northrend. Now mind you the character I was playing was one of my own creation, but I'd been playing him long enough to have crafted something of a personality for him; he didn't like being used, I didn't like being used, nobody uses us, and thus a blood vendetta was born that lasted clear through to the two of us shoving our collective boot up Arthas' frosty ass.
Put simply, I play games because I like being the potato Glados stuck to the end of a character's portal gun.
