This is sort of difficult to answer, because really, why do any of us do anything we do? I hope the typical answer is because we enjoy it (jobs aside). I really enjoy fashion in general, and I have a lot of experience with history, so a fashion that draws on periods of historical fashion, yet lends its own twist, is very appealing to me. Wearing Lolita is an excuse for me to dress nice, well, nicer than I usually do (which is actually pretty nice). There are not enough reasons to dress up in this world, so I love creating reasons.
It is also somewhat of an artistic expression for me. The way I wear my clothes is sort of a visual way to display my personality, and in Lolita, you have so many prints and designs at your disposal.