can't speak for everyone, but I just want to meet interesting people, learn new ideas, and try to become an expert in something. I guess you would be doing something similar in the industry as well, but the atmosphere and the work dynamic would be somewhat different; while in school there is a bit more freedom as to what you want to learn.
I don't mean to say there aren't exceptions. I'm sure there are jobs that are rewarding both financially and intellectually. I just haven't come across something like that yet.
Besides, I think that in general you have a certain window of time for getting involved in a serious research program (again, only in general.) Given that it is possible to enter industry after your PhD if you really wanted to, I choose graduate work first.
Plus, many jobs in my country involves crazy hours and devastating amount of drinking. I don't mind that too much, but I want to try something different while my brain cells are still alive.