Where does the value in an ICO token come from?

I think the value needs to be aligned with the associated network. If there is no network then I think you have increased risk of a token being a security, snake oil, or baseless speculation.

The Token Effect, by Ramon Recuero (http://blog.ycombinator.com/the-token-effect/) does a good job of emphasizing the role of a network and how value is aligned. From the blog post:

"Fairness is defined by rewarding good actors monetarily for contributing value to the network."

"Tokens allow decentralized protocols to capture the value of the network."

"In summary, tokens coordinate efforts in the network and motivate responsible participation."

The hype of ICOs has been focused on tokenizing everything, which doesn't necessarily create value. Going forward, I expect the emphasis to shift from tokenizing everything to creating networks out of everything, and tokenizing those networks. However, I also expect we will require numerous, obvious, practical examples (e.g. failures) before the community refocuses on networks as the source of value and tokens as yet another tool.

The short answer: out of thin air or more exactly out of ether ;)

The long answer: https://twitter.com/nivertech/status/903964504446439424

From the same place where value of a roulette game comes from: from belief, hope, faith and opportunistic gambling of people that have enough coins to place them on many different numbers hoping to get some cash before the house. When you bet some coins on a number in roulette, you get no ownership and you'll get no dividends from the casino - but you may end up with some cash when the wheel stops.