Blue at 2012-01-04 18:29:22:
The Orphan character has an instant internal struggle: that of seeking ACCEPTANCE.
The only people in the world that are pretty much required to love them have abandoned them, so we root for them as they seek out someone to love them unconditionally.
We don't always need to know why they were abandoned, but we do want to know if they'll be able to resolve their anger/pain/frustration through Love/Revenge etc...