I can't speak for everyone, but I grew up watching my father and brother playing games. Of course I played games on my own, but there were a few that I just couldn't get into playing and I enjoyed watching someone more competent work through them.
So I suppose that carried on over to today. There are also some games that I know I can't play in the near future and enjoy seeing a more in-depth look at it without it being some lame, played out "review". Or because I literally cannot play it because I don't have the specific system or my computer can't run it at that time.
Most "Let's Players" are retarded though, and annoy me to no end. Most are so mind numbingly stupid that I wonder how they survive taking a shower without drowning themselves. Skipping over an item that's highlighted as clear as day, skipping through some text that explains the situation and then bitching about not knowing what to do, or blowing passed a short tutorial and then whining when they don't know how to do a very simple thing the game took all of two seconds to explain.... Also they have a tendency to yell, shriek, scream and overreact to things that don't merit such a reaction. Just play the game and shut up, unless you have some interesting note to say.
But some are alright and I can stomach sitting through watching them. Those are few and far between though.
