High-end graphics cards need more power than can be delivered through the PCI slot. One option would have been to deliver the extra power using a 4-pin Molex or SATA power connector, but recent graphics cards need even more power than these can deliver.
The computer industry has introduced a series of "PCIe power connectors", each having two rows of pins: one for +12V and one for ground. The later connectors add more pins (4->6->8) and more wires to carry more current.
Question: why did the industry decide to add more pins instead of using thicker wires? In particular, is there an electrical safety/reliability reason for using a larger number of low-current conductors instead of a smaller number of high-current conductors?
Adding twice as many pins bumps the connector and cable price up much more than using pins and wires that are rated for twice the current (up to a point of course, but PCIe is nowhere near the point of diminishing returns). In theory you can use a pair of 4-pin wires in place of a single 8-pin wire, but in practice this doesn't really happen all that often and I doubt it was the deciding factor.
I can certainly see how manufacturers want to make sure users don't use a low-current cable on a high-current connectors, so if they had stuck with 2-conductor wiring I'm sure they wouldn't have left the connector unchanged. Most likely they would have adjusted the keying on the socket (that's one great thing about those Molex mini-fit connectors, they've got an exponentially large space of keying choices to stop people from doing stupid things).