Why were the children fascinated by Boo in To Kill a Mockingbird?

The children are fascinated by Boo because there's such an air of mystery about him. Although everyone in Maycomb tells all kinds of stories about Boo, no one actually knows anything about him for sure; he remains a complete mystery, a figure of legend, the town's resident boogie-man.
The lack of hard information about Boo gives Dill and the Finch children the chance to make up their own stories about him, which they proceed to do during the Boo Radley game, where they act out imaginary scenes from what they believe is his weird, dysfunctional home life. The more the children use their imaginations, the more fascinated they are by Boo. And the more fascinated they become, the more determined they are to find out more about him.
As the story progresses, the man himself will reach out to the children by leaving them little keepsakes in the knot of a tree. But it won't be until much later on in the story, as Scout and Jem are making their way home from a Halloween party one might, that they'll finally be introduced to the real Arthur "Boo" Radley.