Several reasons I know of; probably others I don't. Part of it is, like many guys, I'm a gadget freak and cave diving requires lots of gadgets. Beyond the standard open water scuba gear, multiple tanks are needed with multiple regulators. The lights cave divers use are far more sophisticated than the regular open water dive lights (and the cost reflects it; mine was $1300 and is brighter than a 100W bulb). Advanced gases are called for including breathing gas with a higher oxygen percentage than regular air and pure oxygen for decompression. In deeper caves, helium mixtures are used but so far I've only used this for deep lake diving. Redundancy is the key to cave diving. If you need it, bring two, if you really need it, bring three.
Another attraction to cave diving for me is finding out what's around that next corner or where some offshoot tunnel goes. Even though all the caves I've been in thus far have been thoroughly mapped and surveyed, I still get the feeling of discovering something new when I enter a section I've never been in. Being in a place that humans were never meant to go and most never will adds a sense of adventure - sometimes it feels like I'm in a National Geographic special.
There is also the skill involved to safely dive in caves. Caves present unique challenges to the scuba diver. Succumbing to them requires a level of skill and proficiency in technique that is very rare in the general diving community. Task loading is ever present while cave diving. You will be constantly ensuring you maintain proper buoyancy and trim in the water so not to stir up the fine silt on the bottom and monitoring the other divers in your team (after all, they have your reserve gas should the unthinkable happen). While doing this, you may be laying out guideline for your exit and clipping a decompression tank onto that line. It takes a lot of practice to be able to handle all of this at once.
Finally there is the complex dive planning. A basic open water dive plan may be "get back on the boat with 500 psi". A well thought out open water dive plan would be "..and don't go below 80'". Planning a cave dive is a lot more involved and can be almost as fun as executing it. Where are we going to enter? Where are we going to exit? What path are we going to take? How much decompression will we incur doing this plan? How much gas do we need should X happen? How are we going to set our reels to ensure a continuous guideline to the surface? If doing a traverse or circuit (exiting at a different place or taking a different path to exit than we did to enter), at what point are we committed (e.g. no turning back)? These are some of the questions that you will have to answer when planning a dive.