Well an obvious minor reason is that it is often optimized to the specifications of the system. For instance, just about any Sony or Nintendo game.
But my biggest reason is that I have a definite lean towards Sony. I'm not in love with the company, that's not it. It's simply that Sony gives me what I want. There games are personally often among the greatest I've experienced. And an exclusive is nothing more than a potential boost to the system I like the most. They help to ensure the success of the platform to me and in the mind of the public. Therefore, sony will hopefully continue to give me what I want...hopefully. They haven't really let me down since the PS1 launched.
.....And it's awesome to tease people for not getting certain games! ;) j/k lol
