We all go because of a phenomenon called Intermittent reinforcement schedule - THE most psychologically addictive behaviour modification pattern.
Basically, we go because we are addicted to the thrill of winning occasionally - there will be no Chelski fans who feel quite as passionate about their current club, basically because they are always positively reinforced (by the team winning), whereas we just cant predict who is going to turn up on any given match day (no pun intended for those traumatised by Saturday's goalkeeping display). Same thing for Scumchester at the moment. If you win all the time, the thrill extinguishes so you have to go to greater and greater lengths in order to achieve the same level of excitement.
At the moment, if there was a league for the most passionate fans, we would be close to the top, although much of the passion is manifesting as despair.
Oh, by the way, I go to Ewood because I love the Rovers.