Why do games (still) have levels?

Elite, the Metroid series, Dungeon Siege, God of War I and II, Half-Life (but not Half-Life 2), the Grand Theft Auto series; some of the best games ever have done away with the level mechanic and created uninterrupted game spaces devoid of loading screens and artificial breaks between periods of play.

Much like cut scenes, level loads are anathema to enjoyment of game play, and a throwback to the era of the Vic-20 and Commodore 64 when games were stored on cassette tapes, and memory was measured in kilobytes. So in this era of multi-megabyte and gigabyte memory and fast access storage devices why do we continue to have games that are dominated by the level structure, be they commercial (Halo 3, Portal, Team Fortress 2), independent (Darwinia) and amateur (Nethack, Angband)?