I agree with Scott, and will add to the noise by posting something I wrote almost 3 years ago.
It all comes down to our past.
Growing up, fantasy themed stimuli is all around us. We walk amongst it. We breathe it. It is a huge part of our learning, of our fun. From the fairy tale books we are shown to the tribal and social legends we are taught, from the school plays we perform to the customs and history of our race we learn, we are constantly bombarded with fantasy themed and fantasy-esque stimuli. As a result, fantasy becomes easy to identify with. It's a safe bet for the player, and it helps recreate the fun we experienced all those years ago when we were imagining ourselves as the knight in shining armor or the most beautiful princess in the land.