This is a question that has obsessed me for awhile because I am a
person who gets deeply into worldbuilding.  I like a setting, a good
setting, and often argue that a setting is truly the main character of
any story.  At the time I am writing this, I am enjoying Dragon Age:
Origins, which has a very well-crafted setting, and recently finished
Brutal Legend, which attempts to realize a fantasy world based on Heavy
Metal album covers and mythology.  (For those of you reading this years
later, Brutal Legend is a TIm Schaffer game, which probably doesn't
surprise you).

Why does world building draw us so?  I think it's
important to answer that question, both for our own self-understanding,
but also for the fact many of us work in areas of fiction and maybe we
want to know WHY.

REASON ONE: Comprehensibility
Worldbuilding
means that you have a setting that makes sense (at least in its own
way).  This is very important to being able to make the fictional world
accessible.  If there are rules, histories, etc. as you learn them it
makes the setting make sense.

Thus there are certain terms that
do not change (or if they do you know why) that people can learn. 
There are histories that do not change (unless there is a great
revelation).  People can get what's going on.

I think a part of worldbuilding is actually the comfort of a comprehensible world, so one can enjoy the stories in it

REASON TWO: Context
A
detailed worldsetting also is meaningful.  It is not just that it makes
sense and is comprehensible – it's that the elements we know of in the
world hang together to provide meaning to events, characters, terms
etc. in a way that makes it understandable.

Thus a term
character use has a rich history related to the world's history.  A
starship's voyage turns out to be complicated by politics involving a
well-known alien race.  The elements of the world combine to give each
other meaning.

Context is the partner of Comprehensibility.  There is not just meaning, there is deep, related meaning.

REASON THREE: It's fun to play with
Worldbuilding that is consistent and has context also, frankly, is fun to play with.

It
invites speculation – because we have the tools and context to
speculate with.  We can read books and guess at what's happening
because we get the world.  We can act within an RPG
having an idea of what actions our results will have.  We can dream up fanfic or speculate.

Good worldbuilding involves us.

REASON FOUR: It allows for communication with others
Having
a setting that is comprehensible, has context, and is just interesting
it then becomes fun to discuss, play in, or otherwise interact with
others concerning the setting in question.

The social aspect of
worldbuilding is extremely important to the long-term survivability of
the property.  Having a setting that people like, relate to, and get
means they can enjoy it with each other.  They can discuss their
favorite characters, speculate on the setting, and so on because of the
amount of worldbuilding being done.  In short they can discuss the
setting and its elements with confidence, with common ground, and
enjoyably because of the effort made.

REASON FIVE: It is commitment
Perhaps
the most missed part of worldbuilding's importance is that good
worldbuilding represents a commitment on the part of the creators.  You
get the feeling what you like is going to be around for awhile and are
safe making a personal, emotional, and financial commitment to the
property.

This I feel is important.

You know Star Wars is
not going away.  Nor is Lord of the Rings.  I get the impression Dragon
Age: Origins will spawn sequels in the same interesting setting.

You can make a commitment as people care about the world.

Conclusion:
Worldbuilding
is important to many of us, and it's important to understand why: it is
about Comprehensibility, Context, the enjoyment of play, the
shareability, and the commitment.  Those elements come together in good
worldbuilding to make something that can stand the test of time.

- Steven Savage