$2 Photo Found at Junk Store Has Billy the Kid in It, Could Be Worth $5M (2015)

Gives me chills. Great picture! Looks like he’s looking at the camera

I know what you wrote was more or less rhetorical, but I thought I would answer anyway. I think it's the same general set of reasons that people are fascinated by serial killers. Or homicidal dictators, etc.

Some of it is fascination with someone who is so foreign to ourselves. These people had to make similar decisions to those we make every day and chose very differently than we do. They did things that most of us would never consider and did them often, whereas we would be wracked by guilt and regret.

Some of it is a sense of longing brought on by romanticization of the past, whether it be WWII or the Wild West or medieval times. Our lives are very mundane and books and movies are a way of escape. I think that tends to leak into other areas of thought. We ignore how awful those time periods actually were and to some degree wish we could experience life "back then." Distance in time also tends to soften our view of people.

Many of these sorts of people also did things that are inherently "exciting". He robbed and murdered. Both of these are things that would get your heart rate up and which Hollywood does it's part to glorify. We see the action and don't often think about the aftermath. These are the types of characters that stories are written about. Nobody is writing a good novel about my life as a software engineer or teacher or fast food worker, etc. There is a reason why good characters in stories are written the way they are. They take huge risks to get what they want at any cost. They live lives of adventure. They handle people who get in their way. Things we fantasize about when we get tired of dealing with work, making money, and being in the same place for years.

Not a terribly deep consideration of why, but these are just a few surface-level reasons.