Why are pili more common in Gram negative bacteria than in Gram positive?
Pili were at least discovered more recently in gram-positive bacteria.

Pili are formed differently in gram-positive and gram-negative bacteria.  Here's a pretty good review on the differences: http://www.ncbi.nlm.nih.gov/pubmed/18953686

Researchers seem to think that pili might be involved in adhesion/formation of biofilms (adhesion is important for pathogenicity).  Certain types of pili are specifically involved in gene transfer. This is a good review on pili and pathogencity in gram-positive bacteria: http://www.nature.com/nrmicro/journal/v4/n7/pdf/nrmicro1443.pdf. If you can't access it, let me know, and I'll do my best to summarize.

EDIT:

The Wikipedia entry for pilin interprets the second paper I linked as saying that pili are more common in gram-negative bacteria and that pili are implicated in pathogenicity.

Straight from the paper:

Prevalence:


  Over the past five decades, several distinct pilus types 
  have been identified, most of which were described 
  and characterized in Gram-negative bacteria.


Function:


  A common feature of Gram-negative pili, however, is their role in adhesion to eukaryotic cells. It has been 
  proposed that bacteria use these structures to form an 
  initial association with host cells, which can then be 
  followed by a more ‘intimate’ attachment that brings 
  the bacterium into proximity to the host-cell surface.


and


  Pilus-like structures on the surface of Gram-positive 
  bacteria were first detected in Corynebacterium renale, 
  by electron microscopy. More recently, surface 
  appendages were reported to be present in Actinomyces naeslundii
   and were subsequently found in other 
  species, including Corynebacterium diphtheriae, Streptococcus parasanguis (Streptococcus parasanguinis), Streptococcus salivarius
   and Streptococcus sanguis (Streptococcus sanguinis). Finally, in the past 
  year, pili were also characterized in all three of the 
  principal streptococcal pathogens that cause invasive 
  disease in humans — group A Streptococcus (GAS; that 
  is, Streptococcus pyogenes), group B Streptococcus (GBS; 
  that is, Streptococcus agalactiae) and Streptococcus 
  pneumoniae — in which they have been shown to 
  have key roles in the adhesion and invasion process and 
  in pathogenesis. [emphasis added by me]