Since WCS started 4 years ago, there have been 24 season or yearly finals. Koreans have won all 24. 46 of the 48 finalists have been Korean*. So it's a really big deal in the Starcraft world :)
Koreans generally pay a lot of attention to the Korean leagues: the GSL being the most prominent. The GSL and the WCS form the two largest legs of the WCS system**, but Korean progamers (especially those on non-Korean teams) will sometimes choose to participate in WCS instead of GSL. Starting with the 2015 season, Blizzard added a requirement that participants have either a valid long-term visa outside of Korea, or can demonstrate long-term residency outside of Korea since 2013.
Why would Koreans choose to participate in WCS, generally considered easier than the GSL? For one thing, there is a larger overall prize pool in WCS. While GSL awards more money for 1st place, prizes drop off substantially from there; the prize pool is much more evenly distributed in the WCS tournament. Players also earn points towards the yearly finals, held at Blizzcon, where there are larger prize pools. Finally, many fans are outside Korea, and being popular leads to more and better sponsorships for the players.
More about all of this at http://wiki.teamliquid.net/starcraft2/2015_StarCraft_II_World_Championship_Series
* Or of Korean origin. Even after moving permanently to other places, players like Polt are generally still considered "Koreans" for this reckoning.
** 2015 added the SSL to the list as well, which I admit I don't know much about. There are are also several other tournaments that award WCS points, though generally a smaller number.