Why is Eve so much fun? I've been playing it solid for over a year now, and still want to log in almost every free moment. I think it follows several factors.
1) Steady Progression without serious grind. The skill training system is brilliant. I can avoid playing for a week and still sleep comfortably knowing my character is increasing his skill points. I don't need to go out and kill hundreds of NPC opponents to get the next ability or access to the next item. Yeah, things cost money and you need to do something to buy the fancy stuff, but you don't need to grind that either if your smart and patient. Look at Razor, my industrial corp; its pulling in hundreds of millions a week.
2) You're not locked into a profession. Any character can do anything with appropriate training of skills. You could spend a year doing nothing but combat activities and then decided one morning to become a researcher. Or Miner. Or whatever.
3) You're not locked into a faction. Same as two, you can stick to one race's ships or swap or train them all. Every character can fly any ship with the right training.
4) There is so much to do. There are so many different activities. Combat pilots alone have the choice of simple ratting, mission running, complex running, solo pirating, small gang pirating, gate camping, and fleet warfare. Then there are non-combat activities like salvaging, mining, manufacturing, researching, hauling, trading, inventing, moon mining, and forum whoring. Last one is a joke BTW.
5) Social aspect. This applies to all MMOGs of course, but is worth stating: you can play the game alone but its more fun with other people to share the stories, loot, planning, kills and profit with.
6) I love space ships. 'Nuff said.