Everyone has their own reasons really.
Myself, I have a number. First off I like being by myself. When you focus on something with all of your attention you kind of go inside yourself and this is relaxing for me. Stick some Nine Inch Nails or Tool on the iRiver and just kick back. It was a bit hard to do that with this one because of the audience. The actual feeling of the hooks going in isn't bad either. The smaller the hooks the less it hurts. My 8 gauge hooks where awesome when they went in. When you get blood taken, the needle doesn't really hurt, it's just a strange sensation. That becomes a really intense sensation when it's mulitplied. When you first take the weight it stretches and burns a little, but that goes away. You're left with a really intense type of pressure (sp) which is good to focus on and get into.
There's also the superficial side as well, it's shocking (hence why I post the pics here) it's a definate challenge and just a wild experience. And the first time I saw it I remember thinking, "woooow, that looks like serious fun" and always wanted a crack at it. Sure I could think up a few more reasons if I looked hard enough!