For me the thrill comes from harnessing the wind. I like being on the water in any type of vessel, but I get more enjoyment from sailing.
It is a challenge for one to use only the winds and the sails to move from point A to point B. Thats where the thrill comes from. There is just something special about it and its very hard to explain.
I often sit back in my cockpit doing an easy 6.5 knots thinking what it was like back in time. I think to myself "I'm doing the same thing that man has done for thousands of years." Moving a vessel using only sails and wind and cruising the same grounds as those from a hundred years ago. I get a lot of satisfaction from it.
Other forms of boating are fun: I like to go offshore fishing, commanding a boat at 65 mph, or paddeling a kayak, but sailing is special.
Not to mention that
fuel these days at the Marina's is around $3/gallon and that most power boats would require I take a loan to fill them: I can sail basically for free.
Long term cruising cost very little, might be a little slower, but its a nice journey.
Sailing is for those who already are where they want to be, the fun is the journey to your next destination.
Its hard to explain, you sort of have to feel it, it comes from deep inside.