Why? Because they can play autonomously. They are in charge, and they don't have someone harping on them to "do this" or "do that" in the one, right, way. It's free from pressure, from stress. (It's great for children's emotional health and is used by therapists!)
With playdough, you can just be, be yourself, be a child, be free! You can touch, and no one's going to stop you from touching, squeezing, rolling, stamping, and punching. You can create. You can make sounds. You can talk to other children and make props to tell a story.
Now, playdough is expensive... BUT, it's also incredibly simple to make. The upside to homemade playdough is that it is safe to eat (not tasty) and non-toxic. I made a video detailing one method for super-soft, super-smooth and non-sticky playdough. It's amazing!
You can learn about colours, about cultures, about numbers, about textures, about patterns... the sky's the limit, and playdough is the ultimate tool.