I voted challenge and wish fulfillment. I could post a long rant about why, but In the end it boils down to the fact that swords and magic is SO MUCH COOLER than guns and soldiers.
I've thought about it for a bit, and the reasons for liking magic are obvious. I am a sorcerer, after all. Just imagine what you could do with a dnd level-one wizard in the real world. You could do anything!
Swords are harder to pin down. Perhaps it's the way it looks, though I'm not convinced by my own argument here. People move a lot more and it more interesting ways when in close combat, but when you shoot a gun you just point and shoot. Perhaps it's that- the "dancing" element. But like I said, I donut that's all. More likely, it's just the culmination of my experience. I grow up reading Tolkien and playing bg, I like a fantasy setting over a modern one. We are but the culmination of our experiences, after all.
Though I prefer realistic fantasy. I like magic, but it has to be explained. It don't like the Dues ex Machina "a wizard did it", and I don't like stupid fantasy. Chainmail bikinis, 2 meter saw blades as swords and inconsistent or completely absurd magic I find incredibly irritating(hello, anime).
See I don't like it when the laws of physics are broken outright- just bent out of shape a little.
Mage conjuring a monster out of thin air- I can deal with it. I fantasy world with complete realism is boring
Superman holding up the Empire State building upside down by the radio tower- not so much.
It's simply a matter of suspending disbelief. I'm nitpicking and scientific, so when I see either plot or mechanical inconsistencies or absurdities it breaks immersion for me. This generally gets me slapped in movies, but I'm going to the special hell anyway:P