There's been a lot of great responses in this thread, and suffice it to say that I agree with most of them, such as fantasy being more forgiving and sword-to-sword combat being more epic than an impersonal gun battle. My two coppers are as follows...
-First off, fantasy fires my imagination and my creativity in ways that science fiction simply doesn't. The magic of the fairies, the legends of heroic knights, and forgotten secrets in hidden glens all appeal to me as a distraction from the stresses and frustrations of reality. When I want to deal with the real world, I go out and interact with it by living my life. But at times, when I'm depressed and burned out, focussing on the fantasy and magic of other worlds lets me get away from it, just for a little while, before I can come back ready to deal with it once again.
-Secondly, as many other posters have alluded, you can handwave or otherwise BS a lot of things in fantasy that you couldn't get away with in a science fiction or modern reality setting. Science fiction, especially, requires a lot of detail and precision to make it believable, especially if some of your players are themselves scientists or engineers.
While I might be able to BS some sort of semi-believable explanation in a comic book superhero setting (where being exposed to a massive amount of cosmic rays or gamma radiation will give you superpowers, instead of just killing you), I really don't want to have to do research to make such things more believable. As it is, I've been called out in my fantasy writing by stating that oil can burn to burn trolls, but it can't burn to power an engine. I find such things as chemistry and physics to be dreadfully boring, and I just can't bring myself to enjoy my work if I have to spend a lot of additional time on research that I don't want to do.
Whereas with fantasy, the audience knows going in that things are not going to be "realistic", such as the fact that humanity has existed for anywhere from 2,200 to more than 10,000-plus years without any appreciable technological advancement. No one will blink an eye if the protagonists travel three thousand years into the future and find that in the future, man is still using horses and wooden sailing-ships as his fastest methods of transportation, and arrows are the deadliest form of missiles available to a war leader.
As long as it's internally consistent and believable, such as with the traditional Vancian magic, or the system of magic as described in the Harry Potter series, a fantasy writer can write almost anything they want, and in many ways the audience can accept it. Again, you have to allow for things like personal taste, quality of the writing, internal consistency, and so forth, but for a guy like me fantasy is much easier both to read and to write.
Of course, if you like Doctor Who or Star Trek, then by all means enjoy it on whatever level you like, and more power to you, but sci-fi just doesn't hold the same appeal for a scientific illiterate like me. Strictly from a personal point of view, fantasy is a lot easier to get along with.