Because they like to make web designers lives a misery! I think that will all change with IE 8, but I will still stick to firefox and safari.
I put the primary keyword phrase in the <h1> tag and then use <h2> for my section titles. I then use <h3> & <h4> around the navigation links. Other SEO companies will use mutiple <h1> tags around the navigation. So I think there is no "rule" that there must be only 1 <h1> tag.