A: Because it messes up the order in which people normally read text.
Q: Why is it such a bad thing?
Q: What is the most annoying thing on usenet and in e-mail?
Very few people these days knows the good practice of quoting. Proper email quoting makes all email correspondence easier and makes it possible to keep the overview of email discussions with multiple participants. Email quoting is described in RFC1855 (Netiquette Guidelines) and a good overview on the topic can be read here: http://www.massey.ac.nz/~tameyer/writing/quoting.html .
The only email client that doesn't support quoting per default is also the wold's most used one, namely Microsoft Outlook. The Outlook-Quotefix program, http://home.in.tum.de/~jain/software/outlook-quotefix/ , looks promising for Outlook users seeking to join the crowd of net-etiquette concious people.