Something I've wondered about some too. I come from a pretty long line of alcoholics. Mopey mentions acquiring a taste for it I guess one way I'm lucky is that I've yet to find hardly any alcohol I care for the taste of (save for flavored drinks that mask the taste).
I do know that coming from a childhood with an alcoholic parent or parents, a lot of us bring a lot of emotional baggage and pain. And life isn't guaranteed to get any easier in adulthood. Maybe for whatever reason that's what they choose to numb their pain.