For me, it's undoubtedly the setting – the world, its creatures (both the Pokémon themselves and various non-Pokémon and Pokémon-adjacent lifeforms) and its many mysteries. As something of a worldbuilding nerd, the speculative biology of Pokémon, the ecosystems they form and their interactions with the elemental forces that shape the Pokémon world are a massive creative playground for me, and if I'm absolutely real, most of my hype for new releases is derived from getting more material to work with and interact with my head-canons for the setting.
Not to say I don't enjoy the actual games or certain aspects of the anime (the quality of both wibble dramatically and some were utterly brilliant while some others were gods awful) but yeah, it's all secondary to the setting and the creatures themselves. ^^