Yes, yes, I know -- I've heard the jokes and am fully aware that few things are more boring than hearing someone talk about his D&D character. Nevertheless, I want to tell you about my D&D character, because I think it says something about what many people look for in a role-playing experience.
My character is an elf wizard named Rennal Maiavar. His backstory is somewhat signficant -- as an apprentice wizard, he was psychically contacted by an evil race of beings thought imprisoned by previous generations, and though he did not wish to do their bidding, it is also true that he did not possess great reserves of willpower. The evil beings, once in command of young Rennal, chose to use him more for entertainment than for the furtherance of any evil plot, and forced him to kill his father. "Maiavar", the elven for 'father-killer', was a name forced upon him by the elders of the city, who then exiled him from their presence. Rennal's claims that he was controlled by the evil race were dismissed, as everyone knew the race was locked safely away.
Of course, within a human generation, the evil race had found a way to escape and placed Rennal's homeland under siege -- a siege that was lifted only thanks to the intervention of some of the most powerful heroes in the land. Rennal's warning was either forgotten or ignored.
In D&D, most elves are Chaotic Good -- they seek both good and freedom in near equal measure. Rennal's experiences, however, turned him Chaotic Neutral; hostile to authority, resentful of restriction, and suspicious of the claims of those who assert that they know what 'good' is. He's also unpredictable, also a trait that fits with his chosen alignment - on more than one occasion, he's demonstrated that he's not entirely careful about making certain that all friendly combatants are outside the area of effect of one of his fireball spells, for example.
Rennal is untrusted and seen by some in the party as untrustworthy -- and he's a total blast to play. Not because he disrupts the party -- our group has been playing together for quite a long time and is a lot more tolerant of this kind of character than most newer groups might be -- but for two reasons:
1. He is many things that I would like to be, and imagine that I would be if not for the compromises I have to make to 'reality. I work in customer service, so I don't always have the ability to tell a difficult customer that they're full of crap, or tell a co-worker that they're far more clueless than they think they are. Rennal can say these things, and mean them, and saying those things allows me to vent them in a way that I find very healthy, spiritually.
2. Rennal represents a philosophy -- and given his intelligence, one that's frequently proven right.
A bit more explanation on point #2.
The party was exploring the Fortress of the Yuan-Ti (evil snake-men, for those unfamiliar with the D&D milieu), when the party encountered a bronze dragon who attacked us. Normally this kind of thing would be seen as odd, since bronze dragons are generally good-aligned and thus aren't usually inclined to attack largely good-aligned adventuring parties, but the paladin and the lawful-good monk/fighter in the party wasted no time in heading after the dragon, intent on taking down its hit points as quickly as possible.
Though he had no real reason to do so, Rennal noted that the dragon's behavior seemed odd, and so decided to try something -- specifically, casting dispel magic on the dragon. One of the magical effects Rennal successfully dispelled was the enchantment that allowed the 'bad guys' to control the dragon's actions. The dragon immediately turned on his captors and made what would have been a tough fight into a rout in our party's favor.
After the battle, it was discovered that the dragon, normally Chaotic Good, had been driven to Chaotic Neutral by a life lived as a captive in the fortress, being tortured and tormented by his inhuman captors. At first glance, you might think this would make the dragon (whom the party named 'Bob') and Rennal fast companions, also considering that it was Rennal who specifically freed the dragon from the compulsion controlling his behavior.
Rennal's response, however, was simply, "That's just the way life is." He developed no special bond with the dragon, nor the dragon with him. Though the 'lawful good' members of the party attempted to bond with the dragon, every attempt they made to 'help' seemed only to push the dragon farther into introspection and distrust -- they tried to heal his wounds (the same wounds they'd inflicted on him when they thought he was out to kill them), to convince him to stay behind and serve as guardian to the eventually cleaned-out fortress (when his only memories of the place were of pain and isolation), and to eventually arrange to meet with others of his own kind (when those others either didn't know or didn't care about his fate).
Rennal also attempted to free a captive yuan-ti in exchange for information, reasoning that, although the enemy of my enemy isn't necessarily my friend, she'll still likely find a way to put a monkey-wrench in our mutual enemy's plans. The party resisted this move, preferring instead to re-equip a captive paladin (whom the party didn't realize had fallen due to her treatment by the yuan-ti), who then used her borrowed equipment to murder all of the nearby villagers that the party thought they'd saved from the yuan-ti menace.
This is not to say that Rennal never makes mistakes -- he showed a fellow wizard the magical creation halls in the fortress that allowed one even without the proper training to be able to craft magical items, who then memorized the location and seemed interested in using that location for his own purposes -- but his errors are errors of personal judgement (as is his character), not mistakes in assuming that the world abides by the rules of his personal moral code.
In short, he's a wonderfully flawed character who nevertheless tends to be much more like the kind of person I'd like to be, and taking an evening every so often to inhabit his skin is among the most therapeutic and entertaining experiences I can think of.
This, I think, is one reason why people play RPGs, or watch movies, or read books. There's an 'escapist' tendency toward these things, sure, but they're not just trying to experience life from the standpoint of idealized versions of themselves -- instead, they're hoping to see the world through the eyes of characters they can view as more interesting than themselves, both in terms of what they can do, as well as in terms of how they go about doing what they do.
Of course, since people find very different things 'interesting', this still leaves a great deal of room for variety in the fantasy/SF/movie/book/etc. realm. I think the urge, though, is much more common that most producers of such material anticipate.