Games do a good job of creating worlds that I dream of. Anime can also do it often and more easily than tv shows/ movies. Books are probably unparalleled but the brain can only think of so much at one time.
I can't physically go back into time to 19th century Japan, but games can help paint a picture.
I can't go to a fantasy world, but games can create nice worlds.
I can't go to space in the years coming, but games can try to imagine a world where you can go to space.
I can't control an entire nation, but games can give you some sort of control.