I think one of the most appealing things to me about fantasy role-playing games is the level of autonomy they allow to players and their characters, at least when done right. The game takes place in a world where all things are possible and the yoke of tyranny is not inescapable. You can take great risks without some medieval analog of OSHA breathing down your neck about the weight of your armor or the sharpness of your sword, or requiring permit forms in triplicate to cast a magic missile. You can hide the spoils of your adventures from the royal tax man. You can chug potions without a prescription. You can aspire to overthrow despotic kings and depose corrupt merchant guildmasters. You can trade on the black market in commodities banned by the crown or the church. You can defy authority, and when authority sends its goons to force you into line, you have the power to resist - and win! If you just get sick of it all, you can declare your independence, run off into the wild and found your own realm, and live by your own rules.
In a word, you can experience, vicariously through your character, something that's nearly extinct in our modern world - true freedom.
Happy Independence Day to my readers here in the U.S., and if it means more to you, as it does to me, than just a day off from work and an excuse to drink beer and set off a few government-approved pyrotechnic devices, it would bring a smile to my face to know that you're out there breaking a few unjust laws in honor of the occasion and thumbing your nose at Big Brother.