This would seem a simple question, until you take into account the sort of experiences some games produce. Gamers can decide to imagine themselves as Polish child soldiers during World War Two, or as helpless innocents battling the personifications of child abuse, or as chain-smoking teenage runaways. It's not just the indie games that offer these opportunities; look no farther than Vampire: The Requiem for characters often full of self-loathing and misery, or Call of Cthulhu for sessions that nearly always end in death and madness.
At this point, many non-gamers (and some actual gamers) are tempted to ask "But why would you play that?"
Aren't roleplaying games supposed to be about escapism? Why would you want to spend your free time indulging in someone else's misery? Above all, why wouldn't you want to have fun?
I've asked these questions before, both of other people and myself. And I suppose the answer must be that the word "fun" is something very hard to pin down. Sometimes people enjoy having bad things happen to their characters in and of itself (Call of Cthulhu is infamous for the fatalistic glee it inspires, with players taking bets as to whose character will hold out the longest.) Some people feel that rare happy endings are even more precious because of how hard they are to earn, and that it means more for a frightened child to conquer the darkness than a six foot armor-clad warrior. Some people find painful experiences cathartic, and some enjoy exploring characters in situations good or bad.
If these things sound strange to you, think of another medium that's supposed to be fun: movies.
Why should people watch gritty dramas or tragedies when there are escapist popcorn flicks aplenty? It could be for any of the reasons I've already mentioned, or it could be because art doesn't have to be warm and fuzzy to make us feel satisfied. The Manchurian Candidate, one of my favorite movies of all time, is nothing if not bleak, but I'm always so wrapped up in its world that it took my boyfriend to point out to me how depressing it was.
Are roleplaying games art? I'd say they can be, but that's a discussion for another time. Suffice it to say that they can provide moving experiences in the hands of good players and a good DM no matter what system you use. And to some, moving experiences aren't always bright and sunny ones.
Let me make one thing clear: just because more 'serious' art can provide deep experiences doesn't mean that other art is inferior. I hate movies where people die of slow, lingering diseases, and I'll probably never play Grey Ranks. I love a good action movie, and I love an escapist dragon-bashing dungeon crawl. Ideally, I like my games to have the best of both worlds; escapist fun and a deep story. That isn't always achievable, but it's a nice goal to set.
If my rambling has any sort of a point, it's this: every group has it's own desired light-to-dark ratio for maximum fun (if fun is even the desired product- some have said it's not.) If other people's ratios are different than ours, it may confuse us. But it shouldn't surprise us.