[Researchers] raised a group of rats in a cage and gave them an abundant supply of healthy, balanced rat chow made out of the kind of food rats had been eating for a very long time. The rats would eat it when they were hungry, and then they seemed to feel sated and stopped. They did not become fat.
But then [they] exposed the rats to an American diet: fried bacon, Snickers bars, cheesecake and other treats. They went crazy for it. The rats would hurl themselves into the cheesecake, gorge themselves and emerge with their faces and whiskers totally slicked with it. They quickly lost almost all interest in the healthy food, and the restraint they used to show around healthy food disappeared. Within six weeks, their obesity rates soared.
Source: New York Times, Study here.
Rat’s usual diet (outside of New York City) is rather bland compared to processed food. Of course, the same can be said for humans prior to the age of discovery. Rats like cheesecake for the same reason humans do. My wife’s horse loves sweet treats like peppermint, wintergreen, carrots, molasses apples, Gatorade, etc.