Question about the GM:
Q. Why is he sitting there, smiling at me after he rolled his dice?
A. Unfortunately, my friend, you are dead. Or imprisoned. Or something far far worse.
Question about Players:
Q. Why don't my players spot the obvious plot lines?
A. Because they are stupid. All players are stupid. Even if they spot the obvious plot hooks, they'll probably then do everything in their power to not follow it and go off on some mad crusade.
And my favorite (Because, yes, I do this):
Q. Why do players think that changing the dice they're using will stop a run of bad luck?
A. Players like to attach mystical properties to inanimate objects. They will also do anything they can to improve their luck, even if it is futile, they can still feel warm in the thought that they did all they could.