What's the appeal of world-building? You want an honest answer? The cool factor. If you're experiencing a world and you're like "awesome!" then that world was probably built successfully. You end up with concepts like balefire and firebending and spice that allows people to fold space and a world where all humans have a sixth sense for magic.
You have Dungeons and Dragons campaigns with whole histories behind them.
Some of my college friends and I spent some time inventing interesting races and detailing their histories with cultural/technological development. That was really fun, to have a badger-people and bat-people threatening war on a race of ostrich-people because the ostriches had enslaved some badgers and bats. Then a biology major joined us with octopus-people who communicated primarily by bioluminescence (if I remember correctly).
Epitomy of awesome.
I believe I've mentioned another benefit of world-building. The kind of story you tell is directly linked to the kind of world you build—as evinced by the importance of diction/word choice to the building of your world. The sweeping epic that is the Lord of the Rings tells a story of ugly war and the struggles of the small and the simple against the perpetrators of the war. And if you missed this part, the Hobbits and the Elves and the Dwarves all lose in the end, and Man is the ultimate winner. For now.
The story of the Wheel of Time series is all bound up in the cyclic nature of time in that universe. Time is a spinning wheel, and people are the threads of the tapestry it weaves. That's an actual metaphor pulled straight out of the series, and balefire burns people out of existence throughout time. Then there are Ta'veren, who unconscious weave the lives of those around them to their own purposes.
So you can world-build to explore world-possibilities other than the one we live in (as Wheel of Time does) or you can use it to talk about the world in metaphorical terms (as the Lord of the Rings does, and despite Tolkien's own aspersions toward allegory). I mention the word "allegory" in that parenthesis, but I'm not saying the Lord of the Rings is actually an allegory. For one thing, you don't have an allegory unless the author intends it (argue against that all you want, but I believe it to be true) and is skilled enough to accomplish it. LOTR has allegorical elements, which comes with the trappings of fantasy. There are metaphorical (or archetypical) parallels to the world we know and live in couched in the adventures of Frodo, Gandalf, and Aragorn. The reason I am not ashamed to love fantasy is because I believe it allows us to look at parallels to our own lives in a different context and think about them in ways I think are more honest than we otherwise can.
I'm not saying everything in fantasy has to be black and white, good and evil. Look at the Harry Potter series or at Gollum and you have some good case studies for morally complex storytelling in fantasy. I'm saying there's more room for stylization, and good stylization can sometimes be more real than reality (Up, Wall-E, Finding Nemo, Toy Story, and Monsters Inc. anyone?).
Do you know how much insane detail goes into the worlds of Pixar movies like Toy Story? Those movies make you believe, for a time, that toys are alive, and in the process say something important about the value of children (and the value they give to the things they love). That's what's "literary" about world-building. When done (and presented) well, it can make a story concept work that would be crippled without it.
So yeah, that's why I like fantasy, guys. Now go read A Wizard of Earthsea if you haven't already.
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