Final Fantasy XI; other times it's the tiered progression of dungeons in a game like World of Warcraft. Either way, it's all fun, but with a long-term goal in mind. Except that sometimes you wind up getting sidetracked, and the next thing you know you're rolling a new character just to participate in a massed player event, or dancing in the middle of nowhere and giving money to passersby.
Everyone needs a break from the serious from time to time, a chance to head out and just do something silly but fun. One could even argue that roleplaying is by and large something unnecessary for the game itself, but still a fun diversion. In a genre that's occasionally prone to feeling a lot like work, it's good to get the option of stepping back and just enjoying yourself. What's the last activity you took part in that wasn't even remotely progress-oriented but was just fun for the heck of it?