Because it involves writing in naughty places on the filesystem, in places that affect other users. It's a Unix thing. Because it's logged, so if someone does

Because it involves writing in naughty places on the filesystem, in places that affect other users. It's a Unix thing. Because it's logged, so if someone does something salacious to the system, it's written in a log (which you need sudo to read the indecency). So there's an extra step to think through before you hurt yourself. So someone doesn't log on your laptop while you're not looking and in seconds wget and install and remove all evidence of a package that will log your keystrokes, or tell you you're a poo-poo head in a mean (but funny) popup on your screen. Because it's sexier than [edit:shift-]right-clicking and selecting Run as Administrator. That always felt dirty somehow.