There might come a day when you create a file that just plain takes a while to download. With a really big file, watching the percent load numbers roll by is even less exciting than watching paint dry. Why not distract your users with a simple game? Give them something to do, and you’ve got a better chance of them sticking around.
The key to making this work is that the game must be simple. You can’t have much in the way of graphics and animation. In other words, needing a preloader for your preloader is not cool.