High school physics:

Power loss is the product of current squared and resistance. Power loss can be minimised by decreasing the current or resistance. As resistance = (length * resistivity) / thickness, to lower the resistance over a set distance we either have to decrease the resistivity (== better wires == expensive!) or increase the thickness (== expensive!). Therefore, we increase the voltage using a transformer before transmitting power over long distances, decreasing the current and hence greatly minimising power loss.