Well, I think a lot of girls are attracted to celebrities because they are celebrities - that is, they are rich. It's quite natural really, even though it's somewhat disturbing to see 13 year old girls being attracted to guys who are older than me (I'm nearly 18...). :p
Guys don't operate that way, going instead for fertility, so I suspect the heavy amount of beauty treatment afforded by female celebrities may come into play. Though I really don't see what a lot of them see in certain ones such as Megan Fox, Angelina Jolie, and others... generally I find most celebrities average when it comes to attractiveness, along with most girls I see. I need to get to know them first (well, not always; there was that one French exchange student in my Maths class...).
I think that the main reason people have crushes on celebrities is that they're a safe way to deal with crushes, because you know there is pretty much no hope that you'll actually be able to have a relationship with them. Whereas if you have them on one of your friends, then you have to deal with awkwardness, and if you know your "crush", you end up with false hope. Celebrities serve as a safe repository of our desires in many ways. They're a human sacrifice, required to ensure current society runs smoothly. Like all human sacrifice, though, they end up causing more problems...