Might be slightly bad form to register purely to reply to a single thread, but hey, here goes (and hi, by the way).
This is actually a topic which interests me; why it is that fictional works, literature, film or whatever, matter to us despite usually having no referential value (Don Quixote does not refer to a real person in the world, just as I'm assuming the characters of QC don't have their exact real life counterparts - this isn't a documentary).
My favourite theory, at the moment, relates to the idea of metaphors of personal identification (a term stolen from Kendall Walton, if you're interested, and the art crtic Arthur Danto also writes on something similar). By this it is meant that in the act of reading, we metaphorically identify ourselves with the characters and situations being described in the fictional work - the work becomes about us. And in the process of reading we discover things about ourselves and the world.
Obviously this is a rather simplified version, and it cannot possibly be a comprehensive explanation of the appeal of fictive works. We don't necessarily identify with one character in particular (although we might) and we also don't identify with every character all of the time. But we do become "involved" enough that the characters matter to us. While we are reading or watching the work, the characters become "real" through an act of imagination on the part of the reader.
In QC, for example, I think it is fair to say many of us do "recognise" something about the characters as familiar - the indie cultre, the dynamic of the relationships between the characters. And in the process of reading we become part of that in some way. We don't sit there thinking; "Marten is talking now, so now I'll be Marten. Better get ready to be Hanners in a minute." It is just (supposedly) the way in which engaged reading works.
Whether we can learn from QC, or Hollywood romances or soap operas in the same way that we might from "high" literature or art is debatable. I'd argue that although Henry James may work on a metaphysical and epistemological level that usually evades a lot of pop culture, there is still a lot that we can gain from these kinds of things on a personal and emotional level (for any classicists out there, think Aristotle and his concept of catharsis).
I'm not quite sure I can stretch this to people wanting to have sex with cartoon characters, and I'm damn sure Danto and Walton wouldn't, but I suppose that if we have "bought them to life", so to speak, then it could be understandable. Still seems a bit odd though, to say the least. And I doubt that concentrating on one's amorous desires towards fictive characters really leads to the self-improvement that this theory suggests fiction can help us achieve.
But anyway, yeah. Philosophy geek returning to lurking now.