Many of the people I play with yearn to make a difference. That's really what separates D&D from conventional MMOs such as WoW. The temporal stasis of the MMO means that you can never really affect change in the world. No matter how many ravening beasts you stack up outside the king's door, there'll be just as many more tomorrow. No matter how many times you save someone from rats in their cellar, those rats will be back and they will be imperiled yet again. This strange world that actively resists alteration is one that we've all become familiar with. 1,001 solutions have been developed to try to work around it. Even single player video games struggle to have meaningful choices and altered landscape as you play through them.
This static landscape is infuriating. The real goal of any player of the 10th Age is generally not to achieve great new heights of power. That's a means to an end. The real goal is to change the setting. Players are never happier than when they see their old characters integrated into the world as NPCs. Even seeing prominent NPCs from previous games that are still around but have changed or grown (or not, it can be pretty easy to impress players with continuity stuff like this) generally elicits a deep reaction.
The reasons are, I think, two-fold. The first is the intimate growing knowledge of the world this implies. They, as players, are being brought into the fold. Each setting run by each individual DM is a unique creation, and as players become more familiar with that creation they become more integrated into the group, more in tune with the setting-as-run (which need not be anything like the setting-as-written) and are thus further introduced to the secret friend-fraternity of "people who know the setting," which can be a powerful organization indeed. The second is that sense of accomplishment that the growth of the world implies. By having an impact, even dead characters bring something to the table. No character is unmourned or unknown, though they may die far from home in a dark hole without a light. Everyone changed something somehow, even if it was only in a small way.
I posit that this, then, is the ultimate reward for playing a pen and paper game, particularly D&D or other setting-persistent games. Character goals (money, power, what have you) pale in comparison to the overall player goal of having made a difference. D&D provides a mirror of life but without the necessity of having to find your own personal angel Clarence to show you that the world really did change because you were alive.
As a side note, this is an interesting side-effect of the MMO Wurm Online, in which the entire game is about building, shifting dirt, and otherwise leaving your mark on the world. I've only played it for a few days, but it seems to share that sort of feeling, particularly the sensation common in earlier D&D of civilizing a wild place (or in the case of Wurm, re-civilizing, since there are so many abandoned homesteads and cities).