Before I give my reasons, I want to make something very clear. In no sport is it a consolation to just make it into the Championship Series or Championship Game. There is no player that plays in any sport that will settle for just having the opportunity to play for the championship. Nobody battles for being the second best. Second place is the last to lose, or the first loser- depending on the way you look at it. There is no reason to glorify any team for losing the big game or the Championship Finals or Series. Few players have ever been satisfied by simply making it to the last round or game.
Football, basketball and hockey are measured by the amount of titles you have. Since 12, 16 and 16 teams, respectively, make it to the postseason every year, just making it to the playoffs is not enough. This has allowed, on many occasions, for teams that may have not been the most dominant teams in their respective divisions and leagues to catch fire at the right time and compete for title at the expense of the more dominant regular season team. Now, if this Cinderella team happens to win the whole thing, all the more power to them. They get remembered for their Championship and get the credit they deserve. If you have a similar run and lose in the finals, nobody cares because, in their opinion, you never should have been playing for the Championship anyways. Baseball, with its new expanded playoff format, is starting to go in that direction. I still feel those who make it to the World Series get more credit that in other sports.
The main reason has to do with the history of the sport. Through the 1968 season, only the top team in each respective league made it to the postseason. Their postseason consisted of the World Series, guaranteeing the loser the winning of their league's pennant. While the New York Yankees are remembered for the amount of World Series Championships they have won (maybe one of my readers can remind me what that number is again), it was their run of making it to the World Series all but three seasons from the years of 1947-1964 and all but two seasons from the years of 1949-1964 that is by far the most amazing run in the history of professional sports. Winning an 8 team league 15 out of 18 years and 14 out of 16 is something we will never see again. The same can be said about the 1991-2005 Atlanta Braves, who won three straight NL West titles, before embarking on an amazing 11 straight NL East titles.
Of course, there are many holes in the Braves run of division championships. The first one was the 1994 baseball players strike and the cancellation of the 1994 postseason, which was not the Braves fault. The one held the most against them is the fact that though they managed to win all those consecutive division titles, they only won one World Series. And out of those 14 division championships, they only made it to the World Series 5 times. And they went from 1999-2005 without making it to the World Series at all in spite of winning the NL East each season. All of that being said, the Braves are still known for their great run- even though they only won one World Series Championship. The Braves are much more respected than the Buffalo Bills or the Minnesota Vikings.
Then there were dem bums. The Brooklyn Dodgers were known for not winning the World Series, but it was well known that they made it for a series of years. Their motto was "wait until next year." They were celebrated in New York for being the best team that never won- until 1955. There was little negativity about the World Series losses in 1947, 1949, 1952 and 1953 (as well as 1941 and 1956). Perhaps the fans in New York understood that the Yankees simply were what they were. The fact that the Dodgers kept making it to the World Series was certainly known and was never forgotten.
Two MLB teams stand out because they won a League Pennant, but not a World Series. In fact, these two teams have combined to never win a World Series in three total WS appearances. The 1984 San Diego Padres had a documentary done about them, something unprecedented for a team that never won a World Series. How many NFL, NBA and NHL teams that lost the Championship had a documentary done about them? The younger, computer-centric baseball fans applauds the Tampa Bay Rays for managing to stay competitive it spite of no financial flexibility. While some fans may not remember the exact year (1998), they know the Tampa Bay Rays have been to a World Series.
Two of the three greatest position players to ever play baseball never won a World Series. Ty Cobb was part of three consecutive Detroit Tigers teams to lose in the years of 1907-1909 (Cubs, Cubs, Pirates). He was known for being part of those teams. The same can be said about Ted Williams, playing in his only Fall Classic in 1946, when the Boston Red Sox lost to the St Louis Cardinals. Because of that, the 1907-1909 Tigers and 1946 Red Sox are remembered for losing the World Series.
Additionally, we will all remember the ball going through Bill Buckner's legs in game 6 of the 1986 World Series and Bill Mazeroski's HR off Ralph Terry in game 7 of the 1960 World Series. Because of those events, the fact that the Red Sox and Yankees lost is just as much remembered as the Mets and Pirates winning is. If nothing I have said convinces you that a World Series loser is remembered more than a loser in any other leagues' Championship Game/ Series, think about this. Who lost the 1919 World Series?