I think that we watch films mainly for the stories they tell. That of course only pushes the answer back a step, leaving us with the question 'why do we like stories'.
For me, the answer is evolutionary. Story liking behaviour is adaptive for two reasons.
Stories often resemble gossip. This is backed up by looking at modern media; the difference between gossip/reality entertainment and fictional entertainment is quite blurred. So stories hitched an evolutionary ride on the back of the adaptiveness of gossip. Gossip is vital in tightly knit community, such as the ones we would have primarily evolved within, with its complex social relationships, where knowing who can be cooperated with is literally a matter of life or death. Who can be relied on. Who has been copulating with whom? Who has been failing to be reliable. Etc.
So gossip is adaptive and stories are 'fake' gossip.
A second adaptive quality of stories is they can act as a kind of 'simulation', so that one is more prepared for such a situation. What would one do if they fond themselves in situation 'X'? How would things turn out if said person did 'Y'? Notice the typical 'story arc':
Character wishes to achieve goal.
Goal cannot be immediatly attained because of obstacle (e.g. character flaw, other character, etc)
Character oversomes obstacle and achieves goal.
Perhaps stories are a 'training simulation' for real life? How to achieve said goal when faced with said obstacle.
Of course, these qualities are adaptive only in our evolutionary environment and the function they perform in our present environment is an open question. E.g. liking the taste of high calorie foods was at one stage adaptive (for obvious reasons), these days where food is abundant, these same qualities are not so helpful (again for obvious reasons).
(Post is a bit of a mess, sorry)
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