Ivan Hewett did a write-up on some very interesting neuroscience research in Why your brain loves music:

When [participants] were willing to pay [for a song] there [was] a strong correlation with one brain region in particular, called the nucleus accumbens. This is the area responsible for the sensation of “pleasant surprise”.

It might seem surprising that people should enjoy having their expectations contradicted. But these results only reveal the physical basis for something we’ve known about for centuries. In the ancient world, teachers of rhetoric knew that one way to hold people’s attention was to set up expectations and then deny them.

“Pleasant surprise”. That does explain a lot. As a high school student with very limited budget, buying a CD was a huge deal, so I didn’t want to waste the opportunity when it did come along. One of my biggest criteria for buying a CD was this: “Will I be ok if this is the only album I can take with me to a deserted island?” The ability to listen to a CD over and over was a strong requirement to make the purchase worthwhile.

Anecdotally I can confirm that the albums I did end up listening to a hundred times over were the ones that were surprising in just the right ways. They were just pushing the boundaries of the sounds I was used to and expected to like. Pink Floyd’s The Division Bell immediately comes to mind as an example of this. It’s probably the same reason we like movies with a strong twist. Even though we’re technically being lied to for most of the movie, we kind of like it. As 17th century English philosopher Francis Bacon said: “There is pleasure even in being deceived.”

See also: The tyranny of endless musical choice