One of SF's main themes is that of exploration, encountering the unknown. This unknown can be outer space, other planets, even other dimensions or the watery world beneath the sea. The encounter with unexplored territory, the taming of virgin territory, is what many people look for in SF.
In a world that seems increasingly finished with exploration, where nothing is left to be discovered, the unknown territory of SF is the ultimate frontier (the "high frontier"). Traditionally in literature, particularly American literature, the frontier, or the wilderness, is the place for people to find themselves, and to find the true meaning of life. The emptiness of the landscape provides an empty space that can be filled with meaning.
Think of your ideas of the explorer () or the frontiersman (). The appeal of the frontier is also the appeal of the hero who has "been there and done that.--someone who has "seen the elephant" (). Science Fiction about the frontier is often about competence. It's about the ability of a hero who can handle himself in any circumstance and has survived everything nature can throw at him. SF lets its readers identify with heroes, and see themselves as independent, admirable, and active.
There is also an implied vision of science in many of these stories. Science is the doorway which opens the frontier, and the weapon which tames the wilderness. The new frontiersmen (and women) are part of a new order, where scientific knowledge is the true measurement of success and survival.