For some random reason I was reading about the X-Files on Wikipedia, and it led me to one of the best Wikipedia articles I've seen, on the Fermi paradox.
Simply stated, Fermi once pondered: With very reasonable and conservative estimates of rocket technology, a civilization could colonize the entire Milky Way in a few million years. The Universe is over ten billion years old, and a few million is a flash in the pan... So where is everybody? You'd think we would've been colonized by now.
The article has a very comprehensive list of all the different possible explanations for why we haven't seen any sign of aliens yet. Great stuff. I wouldn't be surprised if this were the most comprehensive list of Fermi paradox explanations in existence.
Personally, I've always leaned toward two: Maybe life is just a lot less likely to arise than you might imagine, and maybe technologically advanced life is unsustainable and doomed to destroy itself.
Thinking about the likely ease of colonizing the Galaxy in a few million years, though, makes me sympathize more with people who think we've already been visited. I mean, my gut tells me that the Universe must be teeming with life, and, if it is, there must be tons of civilizations that are millions of years old... so maybe they are already here.
I still haven't seen any convincing evidence, though. :P Of course, you could argue that, because of Clarke's Third Law, it'd be easy for advanced aliens to conceal any such evidence.... But then of course belief in them becomes indistinguishable from faith in a religion.