"You play to win the game!"
That phrase earned one of my favorite characters in all of sports, Herman Edwards, his own Bud Light football press conference commercials, because what he said was hilariously obvious and so emphatically stated.
Seriously, though, the objective of most competitions is to win, and in the business of professional sports, that means winning by any means necessary.
That being said, ignoring the legal implications, give me one reason why baseball players shouldn't use perfomance enhancing drugs.

I don't think they care about your children, they're heading to the strip club after the game.
I'm pretty sure they'll put up with the health risks, they're going to be making millions of dollars on this.
I doubt they're all that broken up about jeopordizing the integrity of a game that's already been compromised by gambling, amphetamines, corked bats, and then some.

Baseball is, as has been said millions of times before, a game of inches and small margins. If you can manage to bend the rules even the tiniest bit to your advantage at the professional level, you might find yourself making millions more dollars than you would otherwise.
Consider this: 34 position players in the MLB had a batting average of .300 or better in 2008 (the MLB average was .264), and the average salary of those players in 2009 is $9,825,394. The average salary in the MLB in 2009, including those players is $3,240,206.
Now, assuming hitters get about 30 at-bats a week, a .300 hitter gets about 9 hits over a 7-day span while the average hitter gets 8.
Of course, this is a little oversimplified, but that 1 extra hit a week makes at least a $6,585,188 difference.

The truth is, in a league full of players who are accustomed to a life of excess, finding a way to get that one extra hit is everything.
And it's not just the players, it's their parents who raised them that drill this into their minds. For instance, it's been widely reported that there are a growing number of parents who have Tommy John surgery perfromed on their perfectly healthy kids, because it'll make their arms stronger for pitching.

In any case, baseball has been, and always will be, a game dominated by people who aren't afraid to break the rules, so long as they aren't caught. For this reason, no one should be surprised when their favorite players- the David Ortizes, the Manny Ramirezes, etc.- are outed in the steroid disclosures that keep coming out these days. There's a reason that they've attained the fame they enjoy today.