Personally I have a big interest in the medieval period. Weaponry, armour, castles, untamed wilderness... And most RPGs are based on these periods with added fantasy elements, which I love as well. Monsters and such.
The exploration aspect of these games are a huge appeal to me as well, and the elder scrolls series of games are all about roaming off the beaten path and exploring hidden ruins, caves, forests.
Like Mike said: escapism and fun.
These games aren't for everyone though. There are a lot of people who hate the fact that the game says: "Ok, here's a world to explore. Have fun!" Some people need a bit of direction, and don't enjoy the aimless wandering.