Why does a "cascade" of events happen during signal transduction?
There is one main reason: Amplification of the signal. You can start a signal downwards the cascade with relatively few receptors which need to be activated which allows even for weak signals to be translated into the nucleus. 

This figure shows this for G protein coupled receptors (from here):



For example one molecule of cAMP can activate many molecules of pKA until it's hydrolysed which in turn can phosphorylate many other protein molecules.

For more information you can read the references articles (at least the introduction) and follow the references in them.

References:


Ultrasensitivity in the mitogen-activated protein kinase cascade
Noisy signal amplification in ultrasensitive signal transduction