Because up front, it's easier to maintain the illusion in your head that you're on a private jet, rather than sharing the ride with a couple hundred of your closest friends.

On a more serious note, the farther back I am in the plane, the more claustrophobic I feel. Something about seeing all those people packed in such a small place makes me uncomfortable. I'll choose a middle seat in the second row of coach before I'll choose an aisle in the back. Plus I want to get off the plane as quickly as possible. (If flights boarded from the back I would choose the back, that would win over all else.)