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?

Solution

Many games these days are using "task" or "job" systems for parallel processing. That is, the game spawns a fixed number of worker threads which are used for multiple tasks. Work is divided up into small pieces and queued, then sent to be processed by the worker threads as they become available.

This is becoming especially common on consoles. The PS3 is based on Cell architecture so you need to use parallel processing to get the best performance out of the system. The Xbox 360 can emulate a task/job setup that was designed for PS3 as it has multiple cores. You would probably find for most games that a lot of the system design is shared among the 360, PS3, and PC codebases, so PC most likely uses the same sort of tactic.

While it is hard to write threadsafe code, as many of the other answers indicate, I think there are a few other reasons for the things you're seeing:

First, many open source games are a few years old. Especially with this generation of consoles parallel programming is becoming popular and even necessary as mentioned above.
Second, very few open source projects seem concerned about getting the highest possible performance. As John Carmack pointed out to the Utah GLX project, highly optimized code is often harder to maintain than unoptimized code, so the latter would generally be preferred in open source contexts.
Third, I wouldn't take a small number of threads created by a game to mean that it's not using parallel jobs well.