Call it wish fulfillment but I think one of the things I enjoyed about gaming when I first experienced it was that I could try to rise to a position of power and importance in the setting. Whether it was navigating the ranks of the local thieves guild to command a criminal enterprise or performing heroic deeds on the battlefield to lead armies to glory and forge my own kingdom, there was a lot of appeal in leaving a mark on the fictional world our GM created. However, as a GM one of my first impulses was to quell such efforts by my players. Certainly there was reason behind it, every fool who sets out to conquer the world shouldn't succeed. But I found I became too resistant to the idea, and blocked plans and innovations by Player Characters that should have succeeded. Ultimately I learned there is a lot more to be gained by approaching such schemes with an open mind and understanding the attraction this has for players. My games improved dramatically as a result. When we designed Sertorius, we did so with this in mind, and made a system and setting that facilitated the rise of Player Characters to positions of leadership.
This does not mean you hand everything to players on a platter. But it does mean you avoid things like protecting pet NPCs, dismissing ideas out of hand because you don't want players altering power structures and setting details through their actions, etc. In essence you need to be fair. Part of this means prepping things in advance to avoid the temptation of altering details like royal body guards on the fly to evade clever PC action. But you can't foresee every eventuality so when the need for such information arises, go with what is most plausible, not with what causes the players the most challenge (sometimes the most plausible thing is incredibly challenging, sometimes it isn't). It also means being open to dramatic change in your setting.
This can come up in a number of different ways in a fantasy RPG. It could be relatively small scale, with a Player Character recruiting a number local bandits to form a small organization that systematically robs merchants along an important but not well guarded trade route. Or perhaps a player tries to start his own religion by performing miracles (real or fake depending on the game) and preaching a message that appeals to an audience of disenfranchised peasants. It could be something much bigger, like a party forming a base of support in a city governed by a senate, then working to establish themselves as absolute rulers of the city through political intrigue and strategic use of force. I think there is a natural urge to resist these sorts of things at times. But seeing where they go can be tremendous fun for the GM and the players.
In all of these cases, the rise to power itself is an adventure. And the result is far from certain. That is what makes it exciting. The players trying to take power from the city senate may well succeed and become the first in a long line of rulers. But they might fail and face literal armies of opposition. It is also possible they succeed but then have to deal with a stubborn resistance operating in the shadows of the city streets. Part of what makes this so fun, is neither the GM nor the players know where it will lead.