I always assumed it was anything outside the "normal", which includes me, most of my friends and just about everyone here. Just like seeing a "UFO" may not mean it's from beyond, it's just unidentified.
Paranormal is anomolous phenomena, or the unexplainable. Some people confuse that with "supernatural". I'm going to get some arguments/comments on that.
Why? No real answer. A million, best perhaps is "why not?" Reassurance of some afterlife, some type of personal "paranormal" experience, knowledge, researching the unknown as opposed to researching the already known? More questions than answers, same with paranormal research.
I grew in in Louisiana, state motto, "sportsman's paradise". Used to hunt and fish quite a lot. For no real discernable reason, gave up killing for sport. Now I tell those who ask: "I used to hunt the living; now I hunt the dead".
I am thinking of starting a free banner exchange for anyone with a paranormal website. If you think this is a good idea then let me know. If there is enough interest I'd start it up.