In my opinion, it's often because they're trying to escape, trying to escape from what they see as a "harsh" reality. For them, it's easier to go away, even for a little while, under the influence. I think there is a spiritual element at work--these people that gravitate to drug use have a void in their spiritual lives...they seek meaning, understanding, and purpose in their lives.
Obviously for some drugs, there's an addictive side to them. Even after one or two uses, the body becomes mentally and physiologically addicted. Certainly those drugs that work on the CNS are even more powerful, as they cause the user to make irrational decisions, which in turn fuel more irrational decisions. A never-ending, downhill spiral.
I guess having an alcoholic father provided a life lesson for me. I knew from early on I would never go down that road.