It's a fun way to make contact with stations all over the world... some of the most technologically advanced stations are owned by contesters. It's really a unique form of sport that pits engineers against engineers (designing optimal antenna systems, station configuration, etc.), with a component of adrenaline and operator skill. It's like a multi year video game with a deeply challenging real world component. Each contest is typically only 48 hours, but it takes years to build a competitive station and the necessary operator skill, understanding of nature (radio wave propagation), etc.
Over the past few years I've done some reading/experimenting with meditation and I've found that high speed CW (morse) contesting puts me in a very relaxed state where I push out everything else from my consciousness. It's really quite awesome, and is lately one of the few things I can do that truly accomplishes this (the other is snowboarding down double black diamond powder).