Short answer: Chopping up Rebels with your lightsaber is more fun than watching their ship be destroyed by turbolasers.
Long answer: Vader is consistently shown to react emotionally and place a high priority on his own agenda. He often does what he wants to do, rather than always doing what is most strategically sensible. For one thing, he's the second highest ranking person in the largest military in the galaxy and yet chooses to fly a starfighter in the Battle of Yavin. Can you imagine the Vice President of the U.S. flying a fighter plane into battle during his term in office? Perhaps he's the best pilot on the Death Star, but that implies that he pilots regularly, which isn't something you'd expect from such a high-ranking figure.
Likewise, Vader participates directly in the ground invasion of Hoth. I don't think he's on the front lines, but he is among the troopers that storm the rebel base. He also boards the Tantive IV at the beginning of ANH. He personally confronts Han and Leia at Cloud City, giving Han an opportunity to take a shot at him. Vader isn't just a commander, he's a fighter. He clearly enjoys combat and personally takes part in every operation we see under his command. He is not the type to sit back and watch the gunners cut apart the enemy ship.
You could also ask why he boards Leia's disabled ship at the beginning of A New Hope. The answer is the same.