So I happen to be a huge fan of Japanese Action-MMORPGs. Yeesh, what a niche. But there are a few franchises that I think exemplify the genre, perhaps most notably Phantasy Star Online and Monster Hunter. Both are focused around collecting a large amount of items and upgrades, customizing your character with different weapons and armor, and killing things in a tactical action-oriented combat system. I'm writing this post because I recently began my foray into the Monster Hunter series with Monster Hunter 3 Ultimate. I sincerely think SEGA needs to bring PSO to the Wii U, but I doubt that will happen... so instead I have MH3U to scratch my itch.
One thing that's pretty integral to this genre of games is the grind -- doing the same thing repeatedly to gain resources in order to improve your character, either via equipment or statistics. When you take a mile-back look at the idea of grinding, it seems like an exercise in futility... doing the same thing over and over again? How can that be fun?
The human mind is pretty interesting when it comes to patterns and repetitions. I have a feeling that grinding in games is all about hitting pleasure centers in the brain -- we like feeling rewarded for our work, so when a game provides instant feedback, we have a rush of feel-good brain activity. There's likely some classical conditioning in there too -- we're shown through gameplay itself that if we work hard we'll be rewarded. Compound this with the human mind's desire for patterns and the feel-good effect can be even greater.
If you're interested in a slightly deeper look at the topic, I suggest reading Why we love (or hate) to grind over on Louise Stigell's site. It's a good read.