Because he teaches you that emotions are a thing to take seriously, even though he doesnt have them himself. I think that it is b/c that he is just discovering the world of emotions that he is so innocent with what he says and does. For example the 'balls' thing, he tosses that around so lightly b/c he doesnt understand why you should be embarrassed about such a thing. I also love him for being so uke and having such an adorable fake smile!
Because he is a genuinely nice person who just gets the wrong idea about people's emotions... he brings a lot of humour to the series. The way he misunderstands people kinda reminds me of 3rd Rock from the Sun. :P
Because Sai is unlike any other character.
He is unique,
Intelligent,
And his way of talking... They make it clear from the earliest episodes that Sai doesn't even mean what he says.
He is just portraying some weird character.
