I guess for actors and other types of artist specifically, people relate strongly to the work. It can form the basis for life memories. You remember where you were when you heard a song or saw a movie.
Because fiction allows an escape from the drudgery that real life can so often be.
Because sometimes fiction is required to inspire us as to what we consider possible in life.
To pretend to be a person that you are not, on demand, for months on end, is hard and it demands great empathy and skill.