Lots of reasons. For many people, the knowledge that they are helpless, that someone else can do things with their body and they can’t prevent them, is a powerful turn-on. ‘I’m going to make you come and there’s nothing you can do about it.’ It’s a very strong statement of trust to let someone bind you helplessly, or even non-helplessly.
For others, the simple sensation of bondage is pleasurable. Tight constriction can create very intense stimulation, and lots of tight bondage can be a sensory trip, just as a whipping scene can be.
For yet others, it’s a charge to struggle, to let your body lose control. It can really intensify an orgasm when you come with every muscle straining against your bonds, trying to get your hands free to smash your lover’s face into your crotch, your body shaking. If you weren’t tied down you’d hurt yourself!
For me, it’s all three of these reasons 
An especially intense form of bondage is verbal bondage: putting your bottom in some position (spread-eagled, kneeling, whatever) and commanding them not to move… and then tormenting them! One kinky variation on this is as follows: have your bottom hold their hands out in front of them, fingers splayed, fingertips touching. Put a penny between each pair of fingertips so they’re holding five pennies. Now order them not to let a single one drop, on pain of some punishment or other, and then go to work! This works best on a hard floor so you can hear the coin drop.
There are a bunch of common-sense things to know about if you want to get into bondage. Most of these are pretty obvious, but they’re stated here because that’s what a FAQ’s for! The basic idea, though, is to experiment. The first few times you won’t really know what you’re doing, and that’s fine! Take your time trying different positions, different kinds of rope, whatever. And if you’ve got a new idea that you want to try out before your big date… well, why not try it on yourself? If you can get into a position comfortably, you can probably make your bottom comfortable in that position!
Make sure your bottom’s extremities don’t start getting cold or turning blue; those are both sure signs that blood isn’t flowing the way it ought to, and that isn’t what you want to have happen. If your bottom’s hands are bound inside mittens or some other place that’s not accessible to you, ask them to wiggle their fingers or toes or whatever and see if they’re losing any feeling. It can be tricky to tie someone up without making it too tight; in general, a good rule is to tie loosely with lots of turns of rope. You can tighten such a tie with just another turn around all the rest, and it can be a real drag to have a bottom’s foot fall asleep in the middle of a scene.
Silk scarves, bandannas, etc. also have this problem with tightening under tension; sometimes they get so tight they have to be cut off. If you’re a novice, you may want to avoid these hassles by purchasing a pair of basic ankle and wrist cuffs (in leather, velcro, or whatever) at an adult toy store; and if you get embarrassed, remember the old standby excuse: ‘It’s a gag wedding gift!’
Handcuffs are sexy, but they can also be a pain. Shoddy cuffs (the kind you buy at the sporting goods store) are liable to break while being worn–then you have to file them off. If you want to play with handcuffs, get a good quality pair; the usual brand is Peerless, and they’ll cost about $30, with a double lock so you can snap them on and then lock them so they won’t get tighter under pressure (as cheap cuffs will). Handcuffs are also bare metal, and aren’t good to struggle against, as they can easily pinch nerves… padded, buckling bondage cuffs are better for those sorts of games.
Do not leave a bound person alone. Though it is a hot fantasy to tie someone up in some precarious position (possibly with vibrators or other devices buzzing away) and leave them to stew, in reality you must consider: what if the house is burgled? catches on fire? earthquake? any sort of emergency? Fun is fun, but a helpless person is just that: helpless. A willing partner is too precious to take risks with.
Be very careful about tying anything around the neck; anything that puts any pressure AT ALL on the front of the neck can lead to unconsciousness quickly, as the carotid arteries go right to the brain. Likewise be careful with gags or things tied in the mouth; as well as restricting breathing, they can trigger a gag reflex, which could be really nasty if the bottom can’t get the gag out. See the advice in question on safe-words for use while gagged.
Also, be aware that if someone is standing for any length of time in any sort of tight bondage, it can lead to less circulation to their head; if you suddenly do something intense to that person, it may trigger a headrush which could easily result in a faint. Always use hooks which can be released instantly even with the bottom’s full weight on them (these are sometimes called ‘panic snaps’ and can be found in good hardware stores), and keep a pair of bandage scissors handy in case ropes or straps need to be cut loose.
Be careful what you tie your bottom to; if an exposed water pipe is handy, be aware it may heat up. Likewise with candles; be careful when you’re waving flame around someone who’s bound, as they can’t flinch the way unbound people can.