From what I understand...
People who attend conventions tend to be interested in the content there, commercially and/or personally. It's no different than attending a sporting event in regards to how attendees view it.
The appeal of comics is the same appeal of a well-written book. It presents an alternate universe to the the reader. Comics simply distill and refine that universe into one or more specific extremes using graphics as the primary medium with text to bind it together. Part of the appeal of the universe comes from the perception of exceeding normal bounds, which is why superheroes are common material, though other settings exist as well.
Those who dress up at conventions do so for the same reason people dress up on Halloween. It gives them a chance to be someone else for a day. It also provides a mentally plausible excuse to exert behavior or dress that they normally wouldn't associate with. In essence, it's a form of release from perceived bounds of regular society, to experience or experiment with being like someone you're not. It also explains why people usually only dress up as someone (or thing) they admire in some fashion.
Cosplay is derived from the words costume play. It's Engrish.