I don't think any one person has any one reason for playing video games.
For some, it's stress relief. After all, what's better that coming home after a long hard day at the coal mines than yelling "BOOM! HEAD SHOT!" as loud as you can into your monitor to release tension? Or partaking in a more sedate form of gaming such as playing Viva Pinata or one of the Wii Sports games for relaxation?
Some, of course, enjoy the challenge that video games provide. I, being one of those people (I can't ever play on hard difficulty for reasons I've elaborated on in the past). After all, there's no challenge in reading or watching a movie (unless it's A Scanner Darkly...now THAT'S a challenge).
On a sensory level we enjoy the interactivity of world we encounter. Far from being a passive medium like film (I say passive for lack of a better term) where you just sit there and accept what is up on the screen, you control what is happening.
And of course there's the pure escapism of the thing which is why we also enjoy reading, watching TV and movies. Anything that provides a break or alternative from the current reality appeals to people.
When combined with the interactivity of the games, the challenge of them, and the stress relief they provide, it adds up to a much more immersing experience and one that a player will enjoy due to the pleasurable experience of disconnecting from reality.
To sum up: There is no one reason why we play video games, but we know the aim is to disconnect from reality. Now why we want to disconnect from reality, well, that could be debated until the virtual cows come home.