The question is a little broad, but I'll take a crack at this... :)
It's because most/all operating systems with a GUI (Windows for sure) send the applications a message that the resolution is about to change. Things then slow down while these applications make their adjustments for the new resolution, and respond to Windows (or not) that they received the message and that they handled it (or not).
Windows Explorer itself then needs to make all kinds of scaling changes and computations to the actual graphical objects (both visible and not) based on its own needs, as well as the needs of the running applications.
As a comparison, I'd say my Toshiba LCD HD TV takes a little less than half the time as Windows to change the resolutions via the set-top cable box (ie: 720p to 1080p and back), and it's not dealing with anywhere near the amount of calculations your computer's GUI would be performing.
I would also expect some noticeable "setup time" for new resolutions even when dealing with the LCD panel at the lowest level.
Refreshing a display at one resolution over and over based on a clock is a lot easier than changing resolution. As well, since refresh rate is a much more important feature to video devices than quick resolution changes, that's where the research resources are spent on improvement.
Hope that helps. :)