Others have probably summed up my feelings here:
I like how they allow you to explore strange new worlds and new civilizations, and thus provoking certain lines of thought you might otherwise not have.
No, but seriously, it's probably the ability to explore social issues in unorthodox ways.
Exploring worlds and places that are different from our own. Worlds and places that have more options, more variety, more capability than ours. The ability to experience things we can't experience in our own world.
I guess with social issues in unorthodox ways it's more specific to sci-fi, or the 'speculative' (scuse the term) with utopian and dystopian fiction; but there's definitely the imagination/escapism aspect of exploring new ideas and worlds as well.
...I'd agree with Wan that it's a shame that a lot of modern fantasy is turgid and/or derivative, but there's plenty I enjoy reading as well.
(Incidentally, the ability to explore and interact with new environments is what draws me to video games in general as well, though I'd love to see more social experiment stuff going on in MMOs).
...Though I guess in all honesty, that fascination started as a child, with reading The Hobbit, Lord of the Rings and Dune and watching Star Wars - as it all seemed profoundly more exciting and interesting than real life
that still holds.