it takes about 4-7 years depending on what you're doing, so lots of stuff can happen, some examples are (some have happened to people I know):
-you are married and want to have kids, but need a "real" job rather than a 15k a year stipend for working 80 hours a week.
-your spouse gets a sweet job across the country and you follow them, opting to find a job rather than finish your thesis/courses/whatever
-you realize that you aren't alpha dog like you were in undergrad, and your area of interest isn't growing, and all you wanted to do was be a prof, but realize that's probably not going to happen, so you cut your losses, earn the masters degree and get a job in industry.
-you can't handle the workload for another 4+ years of your life
-you fail the USMLE part 1 and are held back from continuing the clinical years of your medical program.
-you can't pass the qualifiers (although that's one of the least likely ones due to how well schools screen applicants and how competitive it is to get into grad school, a very high % are able to handle quals is all I'm really saying).
-you end up hating the city you moved to, the school you're going to, or your thesis adviser which makes you much less motivated.
-your parents die and you need to take a semester (or year) off to take care of legal matters and whatnot, then when you attempt to go back (to a professional program), you find that you cannot secure medical school loans to continue your education since you lack cosigners and collateral.
-you find a lump somewhere on your body and need to start aggressive cancer therapy rather than continue the PhD.
-a friend from undergrad offers you a prime position with a start-up that they created and it looks like it could be a possibility of a lifetime, so you pursue that instead of remaining in academia.
-you develop an addiction to something which eventually inhibits your ability to finish the degree.
-you get drafted into the military (unlikely but eh, sure it's happened sometime/somewhere)
-you're working full-time and doing a professional program part-time but your job promotes/transfers you somewhere else where you cannot finish the degree.
-your visa expires before you can finish your thesis and you need to return to your country because you can't find anybody to marry you.
I'm sure I could go on for a lot longer, and others could easily contribute many more than I could come up with on my own too.
So there you go, just a small list of examples of why people might (and have) dropped out of grad school.