@PhanthomJay and @abejackson: If you ask a scientific question you must be very precise about what you ask about. you can't just ask "why?" or say "we don't know why", it is meaningless. Think about, if you think it is nonsense we can talk about it.
In the classical mechanics view, "gravity" is created by chunks of mass and acts without direct contact on other chunks of mass.
In general relativity, "gravity" is basically the same thing but it is modeled by a field and very interesting geometry, which in turn give rise to connection of gravity, space, time and energy. does general relativity answers "why?", it does give a more precise description on gravity and shades light on it's deep connection with space-time but it is not what most people mean when they ask "why?" if fact it is very hard to tell what do they mean!
Another theory is gravitational quantum theory which, very simply put, says that gravity is a force that spreads and is inflicted by particles on other particles... does it answer "why?", or...