Children like to pretend they're something they're not, probably because they're led to believe they can be anything they want to be.
Movies such as this, portraying children as secret agents, encourage children to use their imaginations, which are today sadly dwindling due to the media encouraging conformity and discouraging individuality. Children can relate to other children, which is why Spy Kids does more for a child's imagination than, say, James Bond.
Hmm... Perhaps I should go into advertising.