They have to.
Consider this. John was a happy man. He married his high school sweetheart, and lived a long life. He had two kids, who both grew up to be successful in the world, and died peacefully.
My oh my, that was terribly interesting, wasn't it? I could just read on and on about how enjoyable and happy John's life was. I'd love to read a 500 page novel about this, and of course I'd like to pay $25 to be offered the chance to read about how perfectly wonderful John's life was!
Okay, not really. The stories that captivate people, that suck us in and force us to read them again and again are the ones with problems. They're the ones that make us ask "What happened next?" even when the story doesn't have any impact on our life at all. They're the ones with strife, where bad things happen to good people for no good reason at all.
Try this. John had been employed for most of his working life as a Secret Service agent, specifically a bodyguard for the president. He loves his job, but his sweetheart, a sweet French girl living in Los Angeles, can't marry him or he'll lose his job. As he struggles between helping his country and pursuing his dreams, terrorists set off bombs in multiple cities around the USA, one of which is Los Angeles.
Okay, so it still isn't the best story, but it probably was more enticing than the one before. Perhaps it got you asking why he couldn't marry his sweetheart? (See the Yankee White status required of people working with the President) But why do all of these things have to happen to him? Why can't he just marry and live a happy life? Why do terrorists have to screw everything up?
Terrorists ruin EVERYTHING
The crux of this all really lies in why people enjoy reading about struggle. Perhaps it is so they can say, "Hey, this person went through tougher times than I, and he survived! I can survive, too!" or perhaps they can relate to the person, "This person knows what it's like to be in my position." Some sadists might just laugh - "Haha, this guy is suffering LOL" But a story isn't a story without problems.
But overall, I believe the reason people read stories is because they love heroes. The idea of the good guy has been romanticized in popular culture - he always pulls through and/or gets the girl and/or survives the zombies and/or defeats his evil father in an epic space battle. Movies are stories too! And really, who wouldn't want to be the stereotypical hero, or a hero at all?
Authors are real dicks. They hurt their own creations, then publicize them for the world to grimace, sympathize, and/or laugh at. But it's all in the name of a good story, and without the callousness to inflict pain on one's own creations, our stories and movies would be pretty damn vanilla. It's pretty hard to be cruel, too. We grow up being told not be be cruel, that it's bad to do bad things to people (or at least, people who don't deserve it!) and then those who want to write novels or screenplays find they have to be cruel. Hurting your own character, or denying them something is like kicking a puppy - it sucks, and most people aren't capable of it, which is one reason why not everyone is a novelist or a screenplay writer. Next time you meet an author, thank them for their sacrifice!