Because they are treated that way by those around them. Imagine yourself walking in a place, all look at you, many come up to you just to have you put your name on something stupid as a napkin, and many just want to sit by you. They want you to meet everyone they know just to prove to them they know you (not intimately or as a friend, just because they met you once) and no matter where you go...everyone notices you and come's up to you and wants a picture of you and with you....wouldn't you get a ego that your somehow important? Oh, and if you agree to appear anywhere, they give you $ to do it, because of who you are.
Because the more people watch or talk about them the more money they make like lindsey lohan for instance she keeps getting into trouble so her name is heard and when you are in poperatsi they pay you each time your name is said or your talked about or shown on tv
It is because WE MAKE THEM like that. If fans would treat them like the ordinary people they are then I think they would act differently.