Well, first, it's because they look awesome.
There's just something about them that really ties any superhero costume together. But secondly, and perhaps most importantly, it's because you can't deliver a roundhouse kick to the bad guys when you're wearing jogging shoes or high heels. Do you know why superheroes (like Superman, Batman, Spiderman, Wonder Woman, Supergirl, Batgirl, the list goes on and on.