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I've wanted to be a paleontologist from an early age, triggered by being taken to see "Fantasia" at age 7. That was the year that I also started riding horses, so I attribute my career (as an ungulate [hoofed mammals] paleobiologist) to having outgrown neither the horse phase or the dinosaur phase.
As great as is the diversity of life on earth today, the fossil record increases out knowledge of life's diversity by many orders of magnitude. The fossil record also adds something that is lacking from the study of the living world alone: the dimension of time, and the documentation of what actually happened during the history of organisms.
Although one cannot study the biology of extinct animals directly, there are ways by which once can make sound inferences about what they were like as living beings, such as qualitative or quantitative comparison with living animals of known biology and/or the use of principles of biomechanics. (The use of isotope geochemistry is a new development in this area, but as I am primarily a biologist this is not a technique that I use myself.)
Mammals are especially good subjects for paleobiological investigations, as their bony remains provide much information about diet and mode of locomotion, and there is a large diversity of living mammals with which to compare the fossil ones. The structure of the communities of fossil mammals, in terms of diversity of body sizes, and dietary and locomotor types, can also provide excellent information about their habitat (in an entirely different fashion from evidence from fossil plants), and tracking changes in communities through time can provide information as to the tempo and mode of climatic and environmental changes.

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