I'll admit I find something appealing in going from gimp to vorpal bunny from hell. Wheter it's from an action adventure (ie, Zelda) or pure dungeon crawling (ie, roguelikes) perspective, what gets me is the methodical development of the character, the thrill of exploration (specially in roguelikes, which tend to randomize things, making it a thrill time and again), and the combat.
It's just another form of character growth as far as I'm concerned. Both story and H&K elements allow for character development in their own way, but while I appreciate both, I also tend to frown at H&K shadowing story and other roleplaying elements in most CRPGs, when there's so much you can do with story and roleplaying that get neglected in favor of phat lewt.