One of the best reasons I've heard for why people like roller coasters--and I can't recall where it's from--is that it allows for the rider to experience the concrete fear of death without the consequences.

I used to be very afraid of roller coasters, until at twelve years of age a few friends literally dragged me onto one at Dorney Park while we were on a trip from summer camp.  I loved it, and immediately saw what all the fuss was about.

I'd say most of the best roller coasters I've been on were at the Cedar Point amusement park in Ohio.  Definitely worth a trip there if you're in the area.  Other good spots include the various Six Flags parks, the two Busch Gardens parks, and King's Dominion.