At the most basic level, there’s the excitation-transfer theory. Seeing or experiencing something so visceral and so brutal is a powerful stimulation, not necessarily a good stimulation, but it puts the person in a brief state of excitation, during which other stimulations can be more vivid or intense. We know it’s wrong, unpleasant and grim, but this is what provides the stimulation, so we do it anyway, and get the vicarious thrill. There’s also plain old curiosity. People often feel compelled to know the details purely for their own sake.
That's the way I feel about Alekhine's Defense. When I see it, I want to turn away, but am drawn to it and generally can't resist playing over the game. I've even played it a few times with about even results and the few times I've faced it, I have always played 2.Bc4. To date nobody has ever taken the e-Pawn and allowed me to sac on f7 then regain the N with 4.Qh5+ (1. e4 Nf6 2. Bc4 Nxe4 3. Bxf7+ Kxf7 4. Qh5+) even though white has zero advantage. I've done a lot of analysis with this line using engines, but white never gets a hint of an advantage! In fact, in many cases black wriggles his K out of danger and then gets a strong counterattack.
Alekhine's Defense got a boost in the 1970s when Fischer used it in his match against Spassky, scoring a win and a draw. GM Lev Alburt has long been an advocate of the defense and has found many interesting approaches for black, even including the weird 1.e4 Nf6 2.e5 Ng8. This odd move has been played by Petrosian as well as US Grandmaster Joel Benjamin who named it the “Brooklyn Retreat.” Alburt doesn't recommend it as part of a “healthy” repertoire, but says it's OK to play it against weaker opponents. I'm not sure what that means. Opponents that are weaker than me or opponents that are weaker in general, meaning non-masters.
The goal of the Alekhine is to destroy white's center without getting destroyed and the process is not a simple one. One thing, because of the high degree of central tension, is that thematic P-breaks can lead to disaster if played at the wrong time, and sometimes moves that look downright ugly can be very effective. All of this means that even positions that are considered inferior can be played with some degree of confidence if the opponent is unfamiliar with with the strategies of the defense. Actually, I guess the same could be said of any opening, but it's especially true with the Alekhine, probably because it's not a popular defense and most opponents won't be even remotely familiar with the patterns arising from it.
In the following game Eric Schiller played the retreat 2...Ng8 and the result was a wild game that white should have won thanks to his forceful play. Unfortunately, time pressure for both sides resulted in Schiller getting the point.