Creating an environment that you control. An environment where you can get out whatever issues you might have at the time. What you can't do in real life....you can do in the fictional world you create. And it feels damn good to get that release.
But also, there is no substitute for being your own boss. Not having to "punch a clock" every day for someone else. It's worth all of the crap that comes with being a writer, if you can make a living with it.