Since pre-historical times, people have been using the art of storytelling to communicate. Cavemen drew pictures on cave walls depicting great hunts and deeds. As language developed, oral tradition started, where people would tell and retell the same stories over and over again to communicate their history and values. And then to help our forgetful minds, we found ways to preserve these stories on stone, paper and eventually electronically.
There are lots of stories that provide pure entertainment value, but most stories strive to teach us something, whether it's an actual lesson, or our history, or perhaps the human condition. If you think about some of the movies that you've seen which, years later, you can still recall and enjoy - there was a lesson in there that stuck with you.