I don't know if this covers everyone when I say this, but you can break away from your world and leap into another one. The idea of gremlins, mermaids, elves and other mythical creatures intrigues people, and horror stories are a good example in where it's cool to use fantasy creatures, to make people hooked into the story and be freaked and scared by the evil, torturing monsters that fantasy horror entails. I think that people may like reading fantasy more, as well, because, if it ever gets too much, they can escape.
Usually, like everyone else said, they just want a break from reality. Usually the people who write fantasy have trouble with their normal life and want to step into a whole new world where THEY can be the hero and They have total control over everything that goes on.