1. WE LOVE UNDERDOGS- Everybody loves reading about a hero who even though their enemy is 10 times more powerful, doesn't give up and tries their hardest and ends up winning). Its inspiring. Its dramatic. And its fun to read.
2. WE CONNECT WITH THE HERO- If the bad guys just hanging around minding his own business in his summer home, who cares? But when he's about to take over the world, we feel the urgency along with the hero to take down the bad guy. If the guy's evil, but not doing anything at the moment, we're not going to be able to connect with the hero, and aren't going to care about the fight and the cause as much.
3. DRAMA- Aaaah, drama. However, this gives a different type of drama than love triangles( although those are good, too). This is more, that dramatic, climatic, kind of drama. If Harry Potter just snuck up behind Voldemort in the seventh book, before the battle and the elder wand, and killed him quick with a spell, it would have been anti-climatic. It would have left us feeling empty and cheated. No, JK Rowling let Voldemort get the elder wand, become "invincible", unleash his death eaters on Hogwarts, heck, he even killed Harry! That way, when Harry comes back and kills Voldemort, its EPIC. Its dramatic, climatic, everything a final battle should be.
No body likes it when things are too easy for the hero. I once read a book where everything went according to the MC's plan, where she accomplished things that had previously been thought impossible, and everything went smoothly. She did something that others had died trying to do, and she barely broke a sweat. SHE HAD NO TROUBLE AT ALL. And it annoyed me. Because then she seemed distant, unreal, untouchable. I couldn't connect to this character who could so easily overcome everything thrown her way. When things don't go according to plan, when the enemy is stronger than them, we connect to the characters because our lives aren't easy either. Things hardly go the way I would like them, and sometimes it seems like I'm up against and impossible challenge I could never accomplish ( even though its usually not saving the world...)
So go ahead. Be mean to you characters. Make it hard for them. Make their enemies tougher, stronger, more powerful than them. And let them grow and become stronger ( in more senses than one) as they learn how to never give up and to overcome their challenges (or better yet, when to except defeat, because that can be even harder, but more on that later). So go make a dramatic epic ending, and most of all, DON"T BE AFRAID TO MAKE YOUR CHARACTER WEAK. If your hero's all powerful, it alienates your audience. But when its your antagonist that's all powerful, well, now that's another (very good) story.