The RPG Blog Carnival of September, hosted by Dice Monkey asks: why do we play in established settings?
It strongly depends on the setting for me. There are some settings that just don't leave you all that much to play with. Harry Potter for example or Doctor Who come to mind, although I'm a huge fan of both. In order to make it HP or DW, you need to stay close to a certain set of things and I don't like that idea. Although if someone wants to prove me wrong, I'm game for that!
Other settings lend themselves to roleplaying naturally, especially when the setting is huge and well thought out. Discworld for example has a life of its own even when Terry Pratchett is not around. A player in my weekly group is thinking about playing Game of Thrones and I'm eager to try that. I would love to GM in the setting of Metro 2033 (the book) or Neverwhere.
All those are settings that are just ripe with little stories that happen while the main characters are not around. You find yourself wondering what happens to characters mentioned only in passing. And as a roleplayer, the natural reaction is to take over and find out. I've always wanted to visit the Floating Market for example, whereever it might be. I think it's this desire to not let the story end that drives me to established settings in roleplaying.