You have to be in it to win it!

Here's a nice entry on the psychology of another belief: Winning the Lottery.

The Psychology of the Lottery page gives a breakdown of the various lottery games and the odds of winning - but not only that, but real-life examples of those odds - Winning Pick 10 for example has the same odds as you being struck and killed by lightning this year!

So why do we play? Well, obviously it's fun - but also learn more about the lesser know reasons of Availability Heuristics (how often you hear about winners), the Gamblers Fallacy (the belief a number or numbers is "due" to come out), and again your confirmation bias.