The obvious answer is that I don't want to. I enjoy playing WoW. The lore, the world, the characters all appeal to me. I've spent enough time running around Azeroth, Outland and Northrend that I'm more familiar with some of the history, politics and famous faces than I am of my own country's sorry excuse for a Parliament. I have a huge personal investment in the game; in time and effort and emotionally, with some good friends there.
But, not everyone is the same as me. Fortunately.
I don't mean people who run multiple accounts on the one game. As I understand it, it's rare for people to run more than one account unless they're multi-boxing. That's not true of every game, obviously. In EVE Online for example, even though you're allowed multiple characters on one account, only one of those characters can be skill-training at any given time.
What this means is that you'll end up with one active 'main' character, and at least one other sitting around gathering dust, useful only for the odd delivery or suicide run. Players get around this limitation by creating another account, and paying for it with ISK, the in-game currency. "But wait!" I hear you cry once more, "Isn't that like buying gold?" Well no. CCP have a groovy little feature in EVE where you can actually buy game time in the game's Market.
So, players create second, or maybe even third or more, accounts and if they play them in the 'right' way, the accounts can pay for themselves. I might be wrong here, so you should really ask Brendan more about this – I don't get to play EVE very often because my girlfriend laughs at me shooting rocks in space. Feel free to go, "Awwww" any time you like.