Yeah, I've been to one. Going to another one or two this year as well. Lanaholics in Chicago is a pretty popular one, but the mother of all lan parties is Quakecon. You can guess what that's about
Basically the idea is to get together and beat someone's ass, then get up, walk over to their computer, and rag on 'em some more. The latency of LAN is another big factor as well - it's much more even than internet play. Plus, it's good to get out every once in a while and see other people. That's what makes lan parties the good time that they are.