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As has been said, Lie groups are our best theory encoding continuous symmetry. Lie algebra theory, which is the infinitesimal counterpart, is a theory good enough that numerous problems can be solved by look-up, rather than arguing from first principles. You can look at the history, particularly with Cartan and Weyl; you can look at the examples coming from "commutation relations" people want to study; you can look at representation theory or root systems or the theory of universal enveloping algebras; you can look at string theory or the Langlands philosophy. It has been found very natural to look at the Lie algebra as a linearised object behind the Lie group, and something easier to study.