Before I became a semi-well-known user experience guy, I did magazine layouts and typography. I also studied/majored in journalism, so I read of the early days of newspapers and how they began. So, I think I’m semi-qualified to provide an answer this one.
The initial reason columns were used was because of deadlines and advertising. If your newspaper had only one column on its front page (or any age) then if some new story “broke” you’d have to redo the whole thing. Additionally journalists are taught to write using the inverted pyramid model – have the high-level summary as the first paragraph, have more specificity in the second, and so on. That way if a story needed to be trimmed (to fit another in, or place an ad) then the editor can “cut from the bottom” – and this is easier to do (and “reflow” a story) if you have a multi-column layout. Magazines used the same process and style, just with less frequent (or crushing) deadlines.
A reason why this column layout persists and is still used is it helps in readability. Less words on a line supports scalability and “breaks up” the black test with “random” gaps. Take an ebook reader like Stanza on the Mac and open a random book. Make the reader screen wide, using only one column (it helps if you have a larger monitor in this exercise). It almost hurts my eyes and is “harder” to comprehend than the same content would be if it was presented in a thinner column or multiple columns.
Finally, aesthetics plays a part. Multi column in many instances just “looks” better, and designers can do more creative things with it (in my opinion, of course).