You'd have to read up on just intonation vs. equal temperament to really understand, but essentially in most cultures' traditional music the frequencies of notes that sound harmonious and thereby "attractive" or "satisfying" are simple ratios of one fundamental note. Playing those notes against the fundamental creates a feeling of power and oneness that is pleasing to the human ear, although it restricts you to one key since everything is based on the fundamental.
Europeans changed the game with equal temperament, spacing out the notes of the octave at equal intervals instead of using ratios in order to be able to change keys easily. This came at the cost of really tight harmony, but when you're talking about the kinds of simple chord progressions and melodies in rock music the notes are still close enough to the "natural" harmony of the ratios that you get some of the same feeling when a droning fundamental is introduced.
So, basically, when you find yourself attracted to music with a drone you're picking up on a natural phenomenon based on simple mathematical ratios that humans have found attractive for thousands of years. Pretty cool when you think about it, really. "Heroin" is a good example to bring up as prior to and in the early days of the Velvet Underground John Cale was involved in another group with La Monte Young, a composer whose music is based entirely on drones and harmony based on mathematical ratios.
http://www.melafoundation.org/lmy.htm
Also really interesting to think about: almost all rhythms in popular music and most traditional musics are based on the ratios 4:3 or 3:2.