Conclusion
Dungeons are simply the best setting for an adventure. Wherever you have a building, mine or set of caves containing potentially hostile beings, you have the chance to get out there and do something heroic. If you're still not convinced, let's have a Q&A session. Since this is pure rhetoric, you'll forgive me if I put words into your mouth and stick rigidly to my prepared answers.
But dungeon-crawling's just combat! Where's the roleplay?
The roleplay's down there too. Or at least it should be if the dungeon's any good. All of the monsters in there should be there for a reason, and all the intelligent creatures should have agendas of their own, and because they're all stuck in one small area together, they'll have boiled over nicely. If it helps, think of the dungeon as a pressure cooker and its denizens as the ingredients. Add the right ingredients and cook correctly, and you end up with something pretty nourishing. Leave the ingredients out and chances are whatever the result is, it won't be particularly satisfying. While all non-dungeon settings are rubbish, that doesn't necessarily mean that no dungeons are rubbish.
It's just an excuse for the GM to throw horrible things at our characters?
And your point is? It's said that you can judge a man by the quality of his enemies. The more horrible and weird the hazard your characters endured, the worthier they are of the epithet 'heroes'.
But why should we go out of our way to find temples, crypts, mines and castles overrun with horrible monsters? Surely the world's better off if they're left to their own devices and not motivated to act against us?
There are many reasons, blah blah blah, weapons of mass destruction, blah blah, the monsters could strike within 45 minutes, blah blah blah. More importantly, the dungeoneer's real reason for delving into dungeons is the same as the mountaineer's reason for climbing mountains. Because it's there. In the good old days, that's the only reason any of us ever needed.
Insert the rest of a persuasive, comprehensive and coherent argument here. In short: not-dungeon = rubbish. Dungeon = potentially not-rubbish.