Medieval fantasy sets up a world where travel, even over what we think of as short distances, is an adventure in itself. I guess other people could do it differently, but if I'm running a game and the players want to get from Point A to Point B, that's at least one session right there. It might be something I set up, and it might just be seeing what inspiration the random encounter table brings, but something is going to happen on that trip. That, and the fact that a primitive world has maps with more unknown territory than Empire give this particular style of gaming a special appeal. A lot of these things can apply to plenty of games other than D&D, of course, but that's still what I'm going with for now.