I couldn't pin it down to just one reason. Some contributing factors:
-I like the product. The detail, the craftsmanship, the imagination that goes into it appeal to me.
-Its a nostalgic link to happy childhood memories.
-Habit. I've been collecting pretty much non-stop since '83. I'm not one of those guys who stopped collecting in my teenage years and then came back to it after college. I've never stopped!
-I like the mythology, the characters, the exciting storylines.
-It used to be a cheap and fun hobby. I say used to be because the prices have gone up well past inflation, and these days it is more frustrating than fun, because you can't find product. This is why, over the last few years I have become rather selective. With vintage toys, I am a completist, but with the modern toys, I pick and choose carefully. I've easily gone half a year without buying anything.
-It is a less harmful and costly hobby than heroin!
Yes, I play with them, I customize them, and I do display them. The ironic part is, even though I collect toy soldiers, I am 100% against the military, for countless reasons, which I won't go into here. Yet, in toy form they don't seem quite as evil, because it is a more cartoony black & white good guy/bad guy dichotomy, and everyone can safely parachute out of their exploding jets.
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O-ring is better. There. I said it.