Well. I can tell you a couple theoretical reasons...

[b]#1:[/b] The God factor. We like to create things. We really, really do. I mean look at The Sims, it's wildly popular despite penny pinching you for every nickel and dime you have with DLC. Why? Because people like to play God. They like to create entities, ideal or otherwise, that fit something they imagine, something... Awesome, unique, cool, badass, pretty, etc.

[b]#2:[/b] Because making a character is a lot easier than actually playing that character out to a degree that would be as satisfying. Example: Go make an Oriental anything, like a samurai. Now try playing that in a manner that is authentic to its culture. While creating it, it's easy to say that they would adhere to some code of Bushido or behave in X, Y, and Z manner that makes them sound cool, but then putting that to the test in actual scenarios where behaving in X, Y, and Z manner might get them killed [i]and you know it[/i], or where the code of Bushido prevents them from doing the right thing and you portrayed them as a good person, well...

It's a lot easier to paint a portrait, than it is to have that portrait come to life and disappoint you when it never, ever quite matches the expectations you had of it.

... Ironically, just like having children. :lol