Oedipus Rex and the Micro Tragedy

I have just finished reading Oedipus Rex, the classic Hellenic tragedy in which Oedipus discovers that he has killed his father and committed incest with his mother, which has made me think about the nature and appeal of tragedy.

The details of his suffering and his reaction, carry the audience along on waves of emotion. What is this power that tragedy holds? Why is it so appealing? Why do we lap up such tales of woe?