We all want to believe we are the heroes of the story. The protagonist who ultimately does the right thing or makes the right decision and the plot concludes with them winning the girl/guy of their dreams or learning something important about themselves. We project ourselves into these characters, becoming part of the story, living vicariously through their plot lines.
Don't believe me?
Try watching "The Body" (Season 5, Episode 16 of Buffy the Vampire Slayer) and not react to the helplessness and sickening despair of losing a loved one. Or, conversely, the elation of triumphing against impossible odds in "Star Wars, A New Hope".
We live through these characters for the time we are allowed, and perhaps in doing so, we indeed learn something about ourselves.