I'm in the process of buying a house and there are any number of insurance products one can buy to protect yourself against this risk or that risk. Psychologically we tend to dislike losing things more than we like gaining them. It's known in the business as risk aversion.
Of course the insurance industry are well aware of this foible so play on it with their marketing. Everything is framed as protecting us against tragic loss. So I could get payment protection insurance in case I lose my job and cannot pay my mortgage and lose the house. They don't go as far as to say I'd then lose my girlfriend and my dog and all that, but you get the picture.
It's interesting however that generally speaking we don't react as badly too negative events as we imagine we will do. The reason is that our unconscious is continually working to reduce the effects of negative events.
I think a lot of times we probably don't, it's just that fear of things going wrong and you having no protection isn't it. Dare say the marketing has a big part to play, especially for complicated things that you often don't understand fully.
For some things I'd say insurance is worthwhile but I'd certainly recommend doing the sums and seeing if it really fits your personal circumstances.