I hope you also wonder the same thing. So some person asked Yahoo about it and here is what he got in reply -
Golf courses didn't always have 18 holes. The number of holes used to vary widely: 11, 22, 24, etc. As with most golf tradition-related questions, the reason why 18 became the standard goes back to St. Andrews of Scotland, the granddaddy of all golf courses.
The original course at St. Andrews (dating back to the 15th century!) consisted of 11 holes along a narrow strip of land next to the sea. Each hole was played twice, for a total of 22. In 1764, two of the holes were judged to be too short, so the course made the switch from 22 to 18 holes (nine holes played two times each).
One legend claims that the number 18 originated as a suggestion from one of the St. Andrews old-timers, who noted that it took exactly 18 shots to finish a fifth of scotch -- a shot per hole.
That's a quite nice answer!