I love it when players do this. I dunno what it is. I tried to explain to my girlfriend the goosebumps that I feel when players do this, but she just couldn't understand. I think its totally a football-fan thing. When I see the players out there, doing that, it shows how much they want to win, how much they care for the fans, etc. It is electric. You can't help but get on your feet and get loud. I remember Bruce used to do it and I still get chills thinking about that.
Maybe its the connection - the player is communicating with you, and needs you - that makes it so great.