1. You get to feel smart because you "get it" when the majority of others receiving the same joke do not. This segues into the next reason:
2. You get to feel special because it feels aimed at you. Being one of if not the only one to get the joke means the joke was tailored to fit you and not those around you.
3. You're not expecting it. Humor relies in part on the element of surprise, and the more obscure a joke is, the less likely you are to hear anyone make it, and thus the more it surprises you when someone does.
Exempli gratia, "Nanny Skeksis".