I think that there are many reasons for this. Among those reasons I would include one that I consider the main reason. That is;
It is an ethnographic experience: As someone who has looked at culture in detail, I see religion as the practice of any particular culture. It can even give insight into a sub culture, it provides a historical glimpse into a psyche of a country or people. Which is why I often am bewildered by people who claim to be ethnographers or ethnographer-like who show disdain for religion.When I was younger there was plenty of evidence of this burgeoning "ethnographer" in me. I would often seek out experiences to try to understand the culture around me. I enjoyed the stories my parents told me of Native American creation stories, I loved going to the old cathedrals in Europe and South America, I even enjoyed watching pilgrims and the various sites of pilgrimages, I liked descansos, I took various religious courses, I joined in pilgrimages (even if I knew nothing about it) I enjoyed ritual foods and meals. All these things helped me identify and understand the cultures I was living in.
Once, when I was about 6 or 7 (possibly 8, but I don't think so) my family was visiting friends in a village in South America. My guess is that my father was going to bullfight and there was an associated religious holiday. We took a stroll outside the home we were staying at to watch the pilgrims or possibly penitents. The people were moving on their knees (not crawling) toward some place that I believe was the local church. I knew not where they were going, I had never seen the town. I became separated from my family, and instead of crying like a lost child is wont to do... I joined the procession. I walked, what I recall as being, a short distance on my knees (though walking is not the right word, I am not sure what is appropriate). There was an indigenous gentleman "walking" next to me, who was very worried about my participation. I thought, at the time, that he perhaps did not consider me holy enough to be there... but now that I am older... and understand the world and things a bit better... I think perhaps, that he thought he might be accused of kidnapping a white girl. After we arrived at the church he helped me figure out where my family was and walked me there. I could tell he was worried, but I honestly thought it was because I was a non catholic and had participated in a catholic ritual... I think he was worried he would get in trouble. When we arrived at the house we were staying, he stayed across the street and got a woman to walk me to the door while he watched and made sure I made it inside. When I crossed the gate that was the entrance to house I looked back, he was walking away.
I loved this experience, I was never afraid, I felt safe the whole time in part because of the ritual and in part because I knew the man was kind.
I have no idea which religious holiday it was, but I knew it was something special. So when my husbands church proclaimed that they would be having a procession for the Feast of Corpus Christi... I recalled that event from my past. Apparently, this will be the first such procession for the parish and I can't wait to walk in it.