I started to write a mini wall o' text about this, 'cause I love icons, but I'll cut it down into two main reasons:
1. They're creative and original. There is no other haunt in the world where you can meet Jack the Clown, The Director, etc. You can only see them by going to Halloween Horror Nights. And I am often surprised by just how creative they can get with these characters. Back in 2009, when rumors were flying around that they'd be using a theater usher as the icon, I thought "that's dumb, no WAY they'll do that" and well... Same deal with Lady Luck- I know she was created by Marketing, but who would've thought to make a character like that? Not many.
2. I'm one of those fans who becomes very immersed in the storyline for the event. Having an icon helps with that immersion. When I'm there, I feel like I'm in another world, even if that world is just "scary character comes along and takes over a theme park". And learning about the icon before I get there makes me excited to meet them at the event. I still remember my first time walking into Fear Revealed... my heart was racing, and the closer I got to Fear, the faster it went.