Why do helicopters have such limited range?
Helicopters are very inefficient in forward flight, for several reasons.  


Consider Glauert's high speed assumption, i.e. the helicopter can be represented as an aircraft with a circular wing during high speed flight.  Now, if you know anything about basic fixed-wing performance, you'll realize immediately that this implies an aspect ratio just over 1, which is awfully small.  You may recall that for a fixed-wing aircraft, induced drag is inversely proportional aspect ratio--so a very low aspect ratio means very high induced drag!  Induced drag is normally not a big deal for fixed-wing aircraft at high speed because it's proportional to the square of the lift coefficient (which decreases with speed), but...
In reality, the situation for a helicopter is even worse!  Glauert's assumption assumes we have an ideal rotor, i.e. one that has a uniform induced velocity throughout.  In practice, the inflow distribution over the rotor is highly non-uniform, especially at high speeds where the advancing side of the rotor is in a very different aerodynamic environment than the retreating side.  Even on a very simple level, the "working area" swept on the retreating side is much smaller than that on the advancing side. Since lift needs to be balanced, momentum theory implies a higher induced velocity over the smaller area "worked" by the retreating side, and therefore a much higher induced drag at high speeds than an equivalent fixed wing aircraft.

Rotor wake computation from TsAGI RC-VTOL code (Kritsky, B.S).
As the helicopter goes faster, and as the rotor turns more slowly, more of the retreating side blade will stall, which leads to a dramatic increase in drag. This starts on the inboard section of the blades, and moves outwards as the advance ratio (ratio between flight speed and tip speed) increases.  In fact, the most inboard sections of the blade will even be in reversed flow--and airfoils don't work too well backwards.
On the advancing side, things are bad too, but for different reasons. The profile drag of the rotor increases rapidly with speed.  Moreover, as the advance ratio increases, the advancing tip Mach number also increases--and as the blades get into the high transonic regime, local shocks begin to form and lead to even larger increases in drag.  This can be delayed by slowing the rotor down, but that makes the problems on the retreating side even worse!  In general, it's hard to develop airfoils that work well in both regimes.
Outside of the rotor itself, the rotor hub is very draggy, between the main rotor shaft, pitch links, swashplate, hinges and blade grips, etc.  Helicopters usually have pretty "utilitarian" fuselages, as well, which are not so well streamlined.  Plus, you have the tail rotor, which has most of the same problems as the main rotor.
Back to the specific question of range, the Bregruet range equation says that the range of an aircraft is proportional to the lift-to-drag ratio and the speed of the aircraft.  We've already established that the L/D of a helicopter is pretty bad, especially at speed.  So, the cruise speed is going to be pretty low and the L/D is going to be pretty low, so to sum up, the range is going to be really low.


The tradeoff is that the helicopter is very good at hovering--even amongst VTOL platforms, the helicopter is the most efficient. Speed and range are the price you pay for that capability.