The problem is really that the transmission lines carry AC (alternating current) rather than DC (direct current). This causes rather hideous problems with anything other than a pure resistive load - which in the real world of electricity distribution doesn't exist - the cables themselves have inductance and there's a capacitive effect to ground via the air.
Basically when you have an inductive (or capacitive) load then the current and voltage aren't in phase which can cause significant problems if they're not adequately managed - like hotspots so severe in the transmission cables that they melt.
High voltage DC (HVDC) interconnectors are used to connect the power stations to the national grid but they are mind-bogglingly expensive. They are low-loss though as you can imagine as there's no AC involved.
Edit - there's a reason you see birds sitting on the big pylons/cables. The cables are warm to the touch in places