Fantasy author R.A. Salvatore answers this in The Guide to Writing Fantasy and Science Fiction:
Perhaps more than any other genre, fantasy is about the hero’s journey. In a world of seven billion people, with wars I can’t stop and legislation I can’t even read, the idea of one person being able to make a difference, the idea of one man or woman grabbing a sword and defeating the dragon and saving the village is quite appealing.
And perhaps it will inspire a hero or two in our own world to rise up.
And on 
Darrick Dean 
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