An additional thought on RPGs versus episodic TV or book series: RPGs almost always cover a large geographic territory whereas a TV series or book series might not. Much like auronlu noted in her comments, vast geography invites story.

I wonder if games also appeal more strongly because of their interactive nature: actively playing the game versus passively watching a TV series. RPGs require you to actively develop character's skills, give them equipment, and actively make decisions for them (or be involved in their decision making even if their story path is pre-determined by the game script).

Also, despite a game's length, a significant portion of the play time does *not* involve dialogue. All of that low-dialogue questing/adventuring invites the imagination to fill in the gaps. This is very different from a book, movie, or TV series in which the author/director is constantly giving characters' thoughts and dialogue to you.