1. Prostate Massage/Play - Many men and women are drawn to pegging because it takes prostate play a step further. Perhaps they have tried plugs and beads and prostate toys...even dildos and want to see what it's like to experience the ultimate in prostate play. Often hands-free orgasms are explored as will as multiple male orgasms. I like to refer to his as the softer more passionate side of pegging.
2. Femdom Play - This type of play cast the women in the dominant role and the man in the submissive one. Often larger dildos are used as well as restraints and collars. The focus is usually her pleasure and will often involve chastity devices and other forms of orgasm control/denial. This is typically how you see pegging portrayed in porn.
3. Cuckold Training - Some couples in a cuckold relationship will use pegging as a way to train the man to suck and fuck cock if they're interested involving the man in some bi-play with another man, typically called the Bull.
4. Bi Play - For some men the attraction to pegging lies in their hunger for cock. It may be a singular lust that does not extend to men in general. It's a chance to suck and fuck without crossing any bisexual lines and can be the gateway to actual bisex.
5. Sissification - Some men enjoy being dressed up and fucked like a woman, taking it a step father than traditional femdom. This dress can include make-up/wigs/heels and helps that man fully immerse himself in the female role, enjoying "the other side".