Hello Mouse,
It varies between individuals. For a relatively few, it's a true psychosis. For some it's simply a rebellion against authority (science/teachers/parents). Another fairly common cause is an inherent desire to believe in things beyond the ordinary - like supernatural beings and beasts.
But the most common of all is just a lack of mental maturity. Practically all children are enthralled with stories of talking animals, magic, witches, charms, etc. and that explains the success of books and movies like the Harry Potter series. Unfortunately, many cling to such fantasies simply because they want it to be true and carry that over into adulthood.
In that first case, many people with Asperger's Disorder actually believe they can cast spells on other people. And in the latter class, quite a few will also recant if they are pressured hard enough.
Yes, it offers quite a few people some excitement to brighten their otherwise fairly dull lives. That's where the sensationalism comes in. They are bored and lack the mental drive to notice all the truly fascinating real mysteries of the everyday world that surrounds them. Such individuals are quite often excessively lazy and have very little motivation or ambition.