Gavvie, I know what you mean! I've completed it many times too and love the Legends version of the game for the extra stuff it offers. I think it's the world itself which is just so engrossing; the world is colourful, the characters are cheerful, it's all about exploration and adventure! The soundtrack fits the world so perfectly as well.
Edit: Thought I would post some of my PSO memories as well:
I used to play with a friend I met in the Dreamcast chatrooms, he always had more time to play the game and would spend all night on it, whereas I had school and stuff, thus he always got the best gear before I did, but he always gave me rare items, including my first double saber! Years after that, he actually came to my wedding.
My character was a HUnewearl with blue hair and white clothing called Hyperion. I always stuck with the same character type (My character on PSZero is as similar to her as possible) and years after PSO I still used the name Hyperion online as my username and the character was used in message board role playing too. I always used sword weapons
I used to run around the mines level grinding exp late at night whilst listening to my CD player. I always had on Sash! Especially the track Hoopstar, which is what ended up being the theme of Hyperion.
At the time, I lived in a flat above some grumpy sod though, and he could apparently hear me playing the game, even when I had headphones on, so he sometimes used to switch the electricity off when I was playing, which was an absolute nightmare as I would then lose all the time spent on it
I remember the caves boss, De Rol Le, was the hardest in the game. Couldn't beat him until I was level 17 or above.
I used to get scared of those big Metal Gear like robots with the missiles in Mines 2. They had a particular sound and always lurked in the darkness, and their missiles could kill me in one or two hits.
Then when I reached the ruins, I became terrified of the Del Sabers. The last sections, Ruins 3, really freaked me out as well because of the way the walls pulsated.
The last form of Dark Falz, really fun to play online, due to the fact he could lock on to you, and then if anyone hit him whilst he was locked on to a player, that player would receive damage instead! Good times.
And then I got NOL-ed. The end.