Lists are the basic unit of organization. We list Things we need to do. We list steps in a Process. We list things we need, want, or hate, for that matter (please don't use Listz to pro/con your boyfriend, girlfriend, spouse; we couldn't take the guilt). We list things so we can "Get things done", or "get it out of my head", or just "so I can see it all in one place". We list things to be creative, to explore, to muse, to brainstorm.
David Allen is showing the world that if you can get tasks out of your head and into a system you Trust, your stress level will go down and your productivity will go up. There is something reassuring about 'getting it down.' It is natural - the way your mind works. ( To see why, try this. Without pencil and paper or computer, list all possible combinations of A, B, C, D. For example, ABCD, DCBA, etc. Repeat with paper, electronic or otherwise. Which was easier?)
Making lists is a stress reliever. "When I can see everything written down, I feel more in control." Then there is that lovely sense of satisfaction when you can Check Off items for things you have accomplished.