I find that some/most compulsive liars lie to gain attention or to make themselves feel or look better than they really are. An example would be for someone to say they go basejumping to make themselves look cool or extreme when in reality, they never have done it.
It depends on the person and the crowd they are affiliating with. Other compulsive liars just lie because it's like an addiction, like hoarding and the such. It's hard to break once you start relying on lies or they become so embedded in you.