First, I have to say, World of Warcraft is one of the most boring games ever made. I say that with the utmost respect for the people that designed it, who did a good job given the constraints, but it's still incredibly boring. It's leaps and bounds more fun than every other MMORPG, but that's like saying, "well little jimmy might keep sticking coins up his nose, but gosh darnit, he's smarter than that Johnson kid that walks around wearing a helmet while making airplane sounds and crashing into walls!"
Consider this: if you were to take the same exact game mechanics from WoW, and put them into a single player game, would it be any fun? At all? Honestly?
I actually challenged a hardcore WoW player on that: would WoW be fun without the generally irrelevant massively multiplayer gimmick? And he said "well it wouldn't be fun unless you added a story..."
Really? Did tetris need a story to be fun?! NO! If your game needs a story you're just covering up the fact that your gameplay mechanics are boring. You're masking the dullness of your game by turning it into a low budget movie. If RPGs didn't have stories, nobody would ever play them, because the core gameplay of "roll the dice and see if your numbers are bigger than their numbers" isn't actually fun. Some of the secondary things are fun, like making your character pretty, but nobody ever admits that because they dont want to say "well really if this game wasn't playing off my vain desire to look like a cybernetic dwarf with a really cool murder hammer I'd be bored as hell."
Here's the weird thing: the people that play these games are totally convinced they're having fun. So how are all these people convinced they're having fun when they're doing something so dull? Well, it's because they're lying to themselves.
So we're back to the original question: why are people having fun with these really dull games? I'll explain. But before I do, lets talk about something way more fun: sex!
Back in the 1950s, Elliot Aronson and Judith Mills conducted an experiment at Stanford. Students were invited to join a group to discuss the "psychology of sex", but before they were allowed in they had to pass a test to show they qualified.
Some of the students were given a very easy "qualification test": they had to read a few sexually explicit words from the dictionary out loud. Only mildly embarrassing really. The other the students were given a much more embarrassing and difficult test: they had to recite lurid passages from "Lady Chatterly's Lover" and other trashy romance novels out loud to the experimenters.
(Keep in mind this was back in the 1950s, where talking about sex was a lot more taboo than it is now).
This is where the experiment gets awesome: after the students passed the initiation, they were allowed to hear a recording of one of the previous "meetings". The meeting was intentionally recorded to be as boring as possible -- the discussion was actually about bird mating habits, not humans, and the participants were intentionally made to sound extremely dull and stupid.
So how did the students feel about the recording? Well, the students that were given the easy test said it was boring and a waste of time. On the other hand, the students that were given the difficult test generally felt that the meeting was very insightful and interesting.
I'm going to restate that, because it's really really important: how hard it was to pass the initiation into the group had a profound effect on how people viewed the group subsequently. The more difficult it was for a person to join the group, the more positive they felt about the group in general.
Do you think any of these people were consciously aware of this? Of course not. It's classic cognitive dissonance. They had to convince themselves they liked the group, because otherwise they'd have to accept the much less palatable idea that they had made a fool of themselves for nothing. If you were to tell them about the experiment results, they'd probably say something like "oh yeah, I could see how other people could be influenced like that, but not me... I just really like hearing about bird mating habits. Did you know there's a type of bird called a 'tit'? How funny is that?"
Maybe some of you see where I'm going with this: the harder you have to work for something, the greater chance there is you'll like it. Or more precisely, the greater the chance is that you'll convince yourself you like it. Oh yes, in the right context you can convince yourself you like just about anything, including the mating habits of tits.
So lets say you went out and bought WoW, because the promise of exploring this strange new world with your friends looked interesting. Already you're pretty invested in this: you spent $50. But that's not so much, you can still decide that it sucks maybe. And then you play for a few hours, and at first its kinda fun. "Hey look, there's some other guy running around! Hey, I just advanced from level one to level two! NEAT!"
Then the rewards start getting fewer and fewer. It's very gradual. You hardly even notice. Level 2 sure came quick, but level 20 is taking forever! You already spent 30 hours playing the game though, and your friends are all telling you that it gets REALLY fun when you get your mount. Are you really going to quit now? You're pretty much past the point of no return -- you've invested so much in the game that to say "ugh, what a waste of time" would also mean to say "I just wasted the last week of my life for nothing". And the more you keep leveling, the harder it gets to say "hey, you know how my girlfriend left me because I was spending more time with this game then her... well it wasn't really worth it. This is sort of dull".
So that's what I mean about lying to ourselves. How much you like something isn't intrinsically a function of the fun value of that thing, rather, its also a function of how much the person invested into that thing. And by their nature, MMORPGs are very good at tricking people into investing a lot of time. It's very much possible to convince yourself you like something, regardless of how painfully boring it is.
I'd say it's more a problem when you're playing for the promise of future reward, especially if that promise is false; i.e. similar to the psychology behind problem gamblers. Except in MMOs, you're gambling with time instead of money.