The measurement are done those ways because they reflect the nature of voltage and current. Current passes through a point, and voltage is a relative measurement between two points.
A multimeter set to measure current can only measure the current going through it. So if you want to measure the current through a device like a resistor, you must arrange for the current passing through the resistor to also pass through the meter. The way to do that is to put the resistor and the meter in series. Devices in series must always have the same current flowing through them, although the voltages across each can be different.
Conversely, to measure the voltage across the resistor, change the meter's setting to measure voltage, and put the two leads of the meter on the two leads of the resistor. Because voltage is always measured from one point relative to another point, the meter needs to contact both ends of the resistor. This is exactly what putting two devices in parallel achieves. Devices in parallel must have the same voltage across them, although the currents through each can be different.
If you want an analogy, think of water in a pipe. An electric current (of charge) is analagous to a current of water (amount of water per unit of time). A voltage is analagous to a pressure difference -- not an absolute pressure, but a difference in pressure between two points.