It so happens that "geodesic" means "locally straight line" and "null geodesic" means "locally straight line at the speed of light."
Your question is then: "Why do massless particles have to travel in locally straight lines at the speed of light?"
1. They travel in locally straight lines because of Newton's First Law. (If you apply an external force to the particle, it will stop moving along geodesics.)
2. They travel at the speed of light because of quantum mechanics.
A closer look at part one:
Newton's First Law says that a particle will keep a constant velocity unless someone applies a force to it. If something moves with a constant velocity it is clearly moving in a straight line (or not moving at all). When general relativity came along and we got curved space, we lost our ability to talk about "straight lines" as such. In curved space, you can imagine tracing out a path of a constant velocity from your starting position by taking a tiny step in the direction of your velocity, and then sliding your velocity vector along that tiny step (without rotating it), taking another tiny step in the direction of your velocity vector, sliding the vector up to the new position, etc. This vector is always tangent to your path, so we call it a "tangent vector," and the process of sliding a vector through curved space without rotating it is called "parallel transport." A geodesic curve is one that is formed in this manner, and in fact most books give its technical definition as "a curve that parallel-transports its own tangent vector." But if that explanation is too bizarre, you can think of a geodesic as a path that always feels like a straight line if you're walking along it, even if it eventually ends up changing directions because the rest of space is curved. All objects, massless or not, move in straight lines when they aren't being pushed around by other forces, and we knew that
Technically I haven't answered the question, "Why do particles move in straight lines when they don't experience external forces? I understand *that* they do it, but *why* do they do it?" The most popular answer to that is quantum mechanical but not especially useful here.
A closer look at part two:
A "null geodesic" is a geodesic of length zero. There's a quirk when measuring lengths in relativity because geodesics aren't paths from point A to point B; they're paths from <point A at time X> to <point B at time Y>. Instead of calling it a "spacetime distance between two point/time pairs," we usually call it the "interval between two events." If \Delta t is the time elapsed between X and Y and \Delta x is the distance between points A and B (and if c is the speed of light) then the interval between the two events is:
\hbox{Interval} = \sqrt{c^2\Delta t^2 - \Delta x^2}
(Note: That formula works only in flat space. In curved space, you have to break the path up into a bunch of infinitesimal pieces, apply that formula to each piece, and then integrate to add them all up.)
When is the interval zero? When c^2\Delta t^2 = \Delta x^2, which is true when \Delta x/\Delta t = c. What kind of trajectory covers that distance in that amount of time? That is, how does a particle move that distance in that amount of time? Obviously, by traveling at the speed of light. Therefore a null geodesic would be the path traced out by a particle moving at the speed of light.
So now we ask, "Why do massless particles travel at the speed of light?" As you might have guessed, this question also has a quantum-mechanical answer. But University of Illinois has a somewhat acceptable
http://van.physics.illinois.edu/qa/listing.php?id=1354" that doesn't depend on quantum mechanics. I call it only "somewhat acceptable" because it doesn't really tell you why such particles travel at the speed of light; it just talks about why things would be awkward if they moved slower than light.