Escape, answer #2--Removing assumptions
In a sense this is how escape isn't necessarily a negative thing either, except that this one defines what you're escaping from (and to). When I hear Tolkien's quote that I mentioned last time, this is what I think of now...though I'm not sure it's exactly what he would have meant.
The idea here is that by removing a story from the average, mundane setting of your readers--whether that's through a fantastical secondary world (preferably not pseudo-medieval, McEurope, of course), a largely unknown culture or sub-culture of the real world, or some distant imagined future--what you're escaping is the assumptions and trivialities that keep people looking only at the surface of the real world around them. It's a powerful way to look at the underlying aspects of the real world, the ideas and assumptions that allow a more profound understanding of our own culture and that of others.
I'm leery of allegory in its usual sense, where Meaning comes first and the thinly veiled tale is twisted and nailed onto that frame. A nuanced story, though, one that doesn't start with the author determining the meaning but that begins with the author aiming for some sort of truth or understanding, exploring an idea or image and trying to understand it even if no understanding ultimately comes...that's the kind of story I love.
Fantasy and SF and stories set in unfamiliar locales are ways, good ways, of achieving that kind of re-examination of what it is that makes us who we are. I'm making no claim that they're the only or even best way to do so, but I know that they're the best way to get me to that kind of place.