Why?
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It turns out that there are mirror neurons in your brain (both sides) which fire not only when you engage in a task but also when you watch someone else engage in the same task. In other words, if you watch Joe Alessi play a B-flat major scale, in your mind, those mirror neurons are playing along.
Here's an interesting 14-minute segment of Nova Science Now that talks about this...
Here's a good article from Science Daily, if you're interested...