I think that it comes down to the same reason Civ was such a popular franchise. Whenever you finish one thing, there's another thing to do. Oh, just a few more points until I level... oh, I can finish this dungeon and get a new sword. There's also the social aspects of that - you do a dungeon with some friends, get involved in their dungeons later so it has a social motivation for returning as well. I think you also get emotionally attached to your character, and don't want to see him deleted by canceling your account.
