Why do we love stories? I think humanity's passion for storytelling is due to the way the brain learns new things.
Researchers have found the following: If you teach a new task to a group of people, and that night disturb the sleep of half the group in such a way that they aren't able to dream, the non-dreaming group won't remember how to perform the task the next day. The dreaming group will--and will still remember how to perform it years later, too. We need to dream in order to learn.
And what's a dream? It's your brain telling itself a story.
Here's some of the most important things human beings do with their minds (while awake):
1) We figure out the logic that underlies the world we see
2) We find solutions to our problems
3) We witness the struggles of others, and when we see someone else come up with a good idea, we recognize it as such and appropriate it for our own use
If you think about what a story is, it's a narrative which describes a person figuring out a solution to a problem and thereby coming to a greater understanding of their self or their world. In other words, your protagonist is performing activities (1) and (2) above, while your reader is engaged in activity (3).
There's obviously more than that involved in the enjoyment of stories, but I do think the reason we like them in the first place is because we evolved to watch others and try to learn from them. If you think about humanity's most ancient forms of storytelling, they were usually lessons, and they always tried to make sense of both the world and the human condition.
A story is a conscious dream. We love stories because we're all hungry to know how to navigate our lives, and that's what dreams are for--literally. Dreaming is what builds our understanding of the world.
Does that theory seem reasonable to you? Does it sound insane? I'd love to hear your thoughts in the comments! And remember that dissent is always welcome here, so long as it's polite. :-)