Because things get in the way.

Mountains, rivers, hills, buildings, ravines, forests and more are just some of the things that get in the way of roads just being straight. Most of the time, it's much cheaper to build around something instead of going straight through it. Other times, you have no choice but to curve around it; it doesn't matter how much you'd like to make the road straight, you're not going to get permission to tunnel through Notre Dame cathedral.

Bridges are orders of magnitude more expensive to build than regular roads, so if you can avoid building a bridge over something, you will. Tunnels are even more expensive to build. Both tunnels and bridges are more prone to collapse in the event of natural disasters, and both of them introduce areas of natural bottleneck in traffic flow; if it turns out that you didn't make the tunnel wide enough for the amount of traffic you need to accommodate, it's much more expensive to widen the tunnel later on, and you'll likely have to shut down the tunnel while you're widening it.