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Historically, there were a few main reasons.
First, it takes time to prepare prints in multiple languages. The increased use of digital soundtracks on separate media (i.e., a separate CD synced to the print) may reduce this delay, but it will still take some extra time to rerecord the sound track, or prepare subtitles. Of course, this doesn't apply to English-speaking countries. The other main reason is recycling prints: rather than prepare expensive new prints for every country, the best prints theoretically) from the 2000-3000 prepared for a normal wide release get sent overseas after the film is playing in fewer theatres.
Finally, there's the business reason: rather than mount expensive advertising campaigns in dozens of countries simultaneously, the movie is released on its home turf first, where presumably it will do best (and generate cost-effective buzz); assuming it's successful enough there, lessons are learned so the local marketing campaigns for other countries can be produced. Also, the money from the initial release can be used to finance the run in other countries.
Sometimes the overseas rights are sold to a different company from the one releasing in the States (particularly for independent films); this sale might not even happen until after the US release.
And sometimes it's just the normal inefficiencies of bureaucracy within the studios; remember, most of their lower-level employees really want to be acting/writing/directing/producing, not pushing paper, so studios aren't necessarily well-oiled machines.
Many studios, slowly catching on to the ‘net and the globalization it has brought about, along with the rise of piracy, are starting to rethink their strategy. Expect to see changes over the next few years, particularly as cheaper digital distribution systems become widespread (I predict that will take at least 5 years, judging on what I’ve seen).