I'd have to say its the vast amount of items you can use to customize and personalize your character. Every Weapon, Accessory, and Tool feels fun to use in its own way, and the thrill of gaining or crafting new items is always in full force. Whether its a block for decoration, crafting Torches, Finding a Trifold Map, or crafting the Night's Edge. Farming underground in a cavern and seeing items dropped from monsters all over the place is the ultimate thrill.
I also enjoy the Biomes, with the basic Forest, Desert, Jungle, and Ice which make for interesting environments, and the Corruption/Crimson and Hallow that represent Darkness and Light that are like super biomes that affect the basic biomes.