A critical hit/sneak attack is a hit to an especially vulnerable area. A stone golem, being a big chunk of rock, doesn't have any especially vulnerable areas - even if you break off the head, it will still keep on coming. As such, it cannot be critted (or sneak attacked). Likewise for other uncrittable monsters.
From a game-rule perspective, it has the useful of effect of differentiating encounter types. A golem is very much a 'Fighter's monster', being both uncrittable and immune to most magic. Likewise, undead play to the strengths of the Cleric, plants to the Druid, and so forth.
I expect this to change in the new edition.