I am in it for the community aspect more than anything. Though the science of Folding@Home is also very important.
As has been stated, some people give money to charity. Now while I fully believe most charities use the money wisely, there are many who probably waste most of what they get on pointless administration and on advertising that doesn't work, and not on what the charity is actually about.
With Folding@Home we are taking part in actual experiments and modelling. It is a very minute part, but taken together it quickly adds up. Folding@Home currently has around 5.6 native PetaFLOPS of horsepower. That is almost twice what the worlds fastest super computer operates at. Plus that number is always increasing!
The reward I get from Folding is knowing I am helping further science. There is also the competitive side of things. Nothing better than issuing parps and stomps!
As for the cost of Folding, or other distributed projects, it is no more or less what you would spend on any hobby. We strive to get the best PPD per Watt or PPD per £, or just go insane and buy an SR-2 setup!

Gamers will regularly buy the latest GPU for the sake of a few extra FPS. At least we're doing it for the science - even if only by accident! The cost of running these machines is not particularly high, unless you have several.
Personally I probably use less electricity overall than the average non-foldy/seti/climaty type person. The reason being that my PC is my PC [duh!], hi-fi, TV, DVD/BluRay player and gaming machine. And I never need the heating on in my room!
Also, you will probably never see a more stable collection of OC'd CPUs and GPUs than on your average bonkers F@H team. I have found over the years that F@H is far more telling of CPU stability than IntelBurn Test and Prime95.
All in all, there is a lot to this distributed computing malarky and the reasons for doing it range from the science, the community or just the good old-fashioned urge to buy shiny things!