A great thread at the Geocaching.com forums:

I’ve been geocaching for over a year now, and wanted to share my impressions with those just starting, or thinking about giving it a try. I have been involved with many hobbies and sports for 40 years, and have always enjoyed pondering the advantages and disadvantages of each of them. Well, I’m beginning to think that geocaching is just about as close as you can get to a perfect hobby/sport. Let’s look at some of its many advantages. I’m hoping other cachers will pitch in and add to my list:

Why to I enjoy geocaching so much? Most of them are repeated in the thread:

• It’s cheap. After the initial GPS, you really don’t have to buy anything for it ever again. You can buy more, but you don’t have to. And your hobby doesn’t suffer for it.
• You can do it anytime, anywhere. It’s probably the most portable hobby around
• It’s family-friendly. Take your nieces, nephews, in-laws — whoever you want
• You discover new places. There are a lot of neat parks in Omaha that I would have never discovered without geocaching.