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Admiration
The whole circus business is built on admiration. See the amazing show! Look at the fat lady! Marvel at the elephants! The circus is all about superlatives, or extremes. To get the applause, the compliments, and the excitement, they focus on fantasy. The more outrageous the acts are, the more people applaud. The audience has no idea what goes on behind the scenes and sometimes it seems like they don't want to. Even when characters know how desolate and dark circus life can be, it still exerts a powerful spell on them. And even in the present-day part of the story, being part of the circus makes you admired; that's why people like McGuinty claim to be part of it even when they weren't. That makes Water for Elephants' Jacob a doubly admirable guy: he joined up not once, but twice.
At a certain point, no amount of pain is worth the potential admiration that comes with it.
The characters' drive for applause shows that admiration is worth having no matter what the cost.
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