Particularly, on classical guitars, strings 4, 5 and 6.
At the beginning, the sound is very metallic. After a few weeks, it's like playing on coton.
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Your hands are dirty and sweaty. The dirt is likely to stick in the grooves of the wound strings. Sweat will coat the strings, and over time you can see they start to rust (or other similar processes). One way to tackle this issue is to wipe off the strings with a towel after you have played. It is also the reason why some bass players cook their strings, to clean them to make them last longer.
Another approach is to use coated strings (e.g. Elixir, but other brands also exist), which have a layer of plastic(?) coating to protect the strings. I find that coated strings sound a tad bit brighter than non-coated, but that might just be me. In my experience they do last a fair amount longer, so I use them on guitars I don't play too often where string changes are rare.
In addition to Morten's answer, there are a few other things that contribute to strings wearing out:
Tone Gear makes a little gizmo you can clamp on to your strings and run up and down the fretboard a few times to clean the strings. It does a good job of degunking strings, and can help you get more life out of them.