As Anthony stated when he started this month's musing, nerds and expanded universes go together like no other social or fan group.
The fact is, you'll probably never see a series of books based upon the movie My Big Fat Greek Wedding, or web pages devoted to fan fiction involving the characters from the show ER.
When it comes to something like Star Wars or Star Trek, though, you've got tons of novels. Tabletop role-playing games. Video games. Comic books.
Games have novels that go beyond the original stories. Movies are made (ignoring anything by Uwe Boll, of course). Web sites tell tales created by fans (just look for Final Fantasy 7 fan fiction to see that in action).
As geeks, we're clamoring for more, and the question posed is: why?

Looking at universes that start as games and then branch out, my thought is simply that we're interacting with these characters on a way more personal level than in any other medium.
It's one thing to watch a movie or show, watch the characters interact with one another and tell the story that the creators intended us to see and hear. No matter how much we may love what we see, it's passive enjoyment. We may feel the emotions the writers intended us to feel, but in the end we're observing someone else's characters.
With games, we ARE the characters. We're not just watching Master Chief battle the Covenant, we are Master Chief. When he takes out a room full of Flood, it's our fingers on the trigger. We're not just sitting in a theater watching an actor leap over a treacherous chasm, but it's our reflexes that keep the Prince of Persia from falling to his death. We're still following an established script, in a sense, but the story is being woven around us, not simply in front of us.
Instead of observing, we're an active part. We may be holding out breath as the hero battles insurmountable odds on the movie screen, but it's a different experience when it's "you" battling those odds.

So why would we want those stories, tales that we took an active part in, to come to an end?
For a moment, whether it be a few hours or several months, games transport you somewhere else, allow you to be someone else, and you're given a piece of a much larger tale to play. Therein lies the point, "a piece of a much larger tale". In Halo, you're Master Chief, playing one part of what is obviously a much bigger story. It makes sense then, if you really liked sharing a piece of this character's life, that you'd want to learn more and continue the saga beyond the game.
Often times the settings are just too vast to encompass in a game. Something like Starcraft has so much to it, so much detail, that it's impossible to cover everything that everybody would want to know. It's not like a TV show, where more information can get doled out each week (unless you're Fox and cancel it. cough...Firefly...cough), or a movie where you're told exactly as much as you need to know. In a game, there can be so much more, and expanding the universe allows fans to see and read what the games simply can't reveal.

In the case of movies:
Geeks have the ability to really connect with a story. We're not just watching, we're experiencing.
To put it another way: I've never talked to someone after watching a chick flick, and heard them say they wanted to be a particular character. Ask almost any nerd if they wanted to be a Jedi, though...
Plus, the worlds that the "geek" movies portray are often detailed well beyond the scope of the film, which makes a point similar to the one I made about games above. In a romantic comedy, you're given what you need to know, and everything else is irrelevant. The setting is usually a real place, so if you want to see it you can just go there, and the characters play their roles through the tale's beginning, middle, and end.
In something like Star Wars, though, there is so much to the universe that just can't be told in the movies. Planets are mentioned, battles are referenced, none of it relevant to the story at hand but still interesting to those of us who don't just watch, but who FEEL these sagas.

Anyway, those are my thoughts on the matter. There'll be a line of books and an animated TV show soon to expand upon them.