It's really more than one thing. Aside from the usual escape from real world, being a kid again statements and the whole environment from attractions and CMs, I think it's just the overall anticipation and buildup. I mean, the Magic Kingdom, the way it's set up, has a different vibe.
When we go to most amusement parks, typically, we're in a parking lot with the big giant roller coasters right in front of us. With the Magic Kingdom, you still need to take a ferry or monorail to go from the parking lot to the entrance area. You see the castle but it's still far away. Then when go through security on to Main Street, the castle is closer but still far away. Then as you step closer and closer, you truly realize how beautiful and tall the castle is. Anyway, I think Disney compared to most theme parks is different and magical because at most theme parks, most have in mind of riding the big tall coaster they saw in the parking lot as their first ride. But at Disney, there's not really a big, towering and large ride right in front of you so you're left asking and wondering in a good way what ride to do first.
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"All my life I wonder how it feels to pass a day, not above them but part of them.
And out there living in the sun, give me one day out there, all I ask is one to hold forever. Out there where they all live unaware, what I'd give, what I'd dare, just to live one day out there."