I don't think I can answer for women in general, but I know why I like shoes so much - because they were the one thing that fitted!

Finding clothes that fitted - never mind looked good - was a real ordeal when I was younger (still somewhat of an ordeal now, but I'm working on that), and my substitute indulgence to clothes was shoes; since I could count on them to fit, and feet size in general is less discriminatory than clothes size.

I could be generalising here, but perhaps women are 'trained' from a young age to like shoes and clothes and makeup, while men are trained to like cars and guns and boogers(!)