Why don't large programs (such as games) use loads of different threads?
I don't know how commercial games work inside very much, but the open source games I have come across don't seem to be massively into threading. Same goes for most other desktop applications, normally two or three threads seem to be used (eg program logic and GUI updates).
Why don't games have many threads? Eg separate threads for physics, sound, graphics, AI etc?
Answer
I don't know about the games that you have played, but most games run the sound on a separate thread. Networking code, at least the socket listeners run on a separate thread.
However, the rest of the game engine generally runs in a single thread. There are reasons for this. For example, most processing in a game runs a single chain of dependencies. Graphics depend on state of physics engine as does the artificial intelligence. Designing for multiple threads means that you have to have frame latency between the various subsystems for concurrency. You get quicker response time and snappier game play if these subsystems are computed linearly each frame. The part of the game that benefits the most from parallelization is of course the rendering subsystem which is offloaded to highly parallelized graphics accelerator cards.