Of all the worlds, both real and imaginary, that would appeal to children, why do you suppose Wendy and Peter chose to focus their attention on the African veldt in "The Veldt"?

The classic science fiction short story "The Veldt" by Ray Bradbury tells of some parents who have invested in a technologically advanced home and have installed a virtual nursery for their children. The nursery can create imaginary landscapes for the users. When the story opens, the children have an African veldt in the nursery, complete with lions and vultures. Their parents wonder if it's good for the children, and they threaten to shut down the nursery. The children, in turn, lock their parents within the African landscape and let the lions devour them.
In answer to the question, it is important to understand the timeframe in which the story takes place. The children have already been playing with the nursery for some time. In the beginning, as their father recalls, they created Alice's wonderland, Aladdin's kingdom, Oz, and other worlds from fairy tales and legends. The African veldt is a recent occurrence. As the psychologist who visits explains, the room has "become a channel towards destructive thoughts, instead of a release away from them." The psychologist says that after the father, George, took away the room from the children for a few days as a punishment, he became a Scrooge instead of a Santa Claus. In other words, he has become to them someone who takes things away, instead of giving.
The children create the violent landscape of the African veldt not so much as a play area for themselves, but as a means to get back at their parents and win their independence from them, so they can live in their virtual worlds without opposition. In the end, they get what they want in the destruction of their parents.

Wendy and Peter have had everything done for them and, as a result, have developed a sense of entitlement. They have been protected, sheltered, never having to face or endure consequences for their behavior. They have been parented, essentially, by their Happylife Home, which "clothed and fed and rocked them to sleep and played and sang and was good to them." In choosing the African veldt, the children have constructed a place "so real, so feverishly and startlingly real that you could feel the prickling fur on our hand, and your mouth was stuffed with the dusty upholstery smell of their heated pelts." This scene seems even more real than the lives which the children lead day-to-day. I think the children's fascination with this setting happens because they are entitled and have never been made to understand the consequences of their actions or the authority of their parents. This brutal and violent setting seems like only a play-place for them, because it is as real-life as anything else they've experienced in their sheltered, coddled existence. It is exciting in a way that nothing ever has been before. They do not respect their parents; they respect the house, because the house has raised them. When their parents threaten to come between them and the house, the children exploit the setting they've created to eliminate the threat their parents pose.

As the Hadley parents comes to understand, the Happylife house they have purchased has taken over as the parent of the children. As Mrs. Hadley puts it,

The house is wife and mother now, and nursemaid. Can I compete with an African veldt?

The nursery with giant view screens that the parents built for the children at extra cost has especially become their surrogate parent. Wendy and Peter delight in focusing on the African veldt because it is an exciting place. Most importantly, it brings all their fantasies to life. Rather than putting boundaries around the children, as a normal parent would, the nursery lets them indulge their aggressions. It is only natural that the children gravitate to a place that allows their dreams to come true. The veldt says "yes" to them when their parents say "no" to them. The veldt is especially appealing to them because of its relentlessly, ruthlessly aggressive nature, which frees their ids to enact their repressed violent fantasies. This is far more satisfying to them than, say, a gentle bunny scene. It even allows them to enact their fantasy of killing their parents.