Intellectual property is one reason. It means that it may be illegal for a farmer to grow his own seed, even if his field wasn't GM but there was an accidental cross-pollination from another farmer's field. This makes the most evil things the music industry has done so far seem like harmless child's play in comparison.

Side effects may be another reason. Fine if the soy plant creates a posion to kill off the insects that are eating it, but how do I know that posion isn't harming me? Actually, no plant wants to be eaten and hence they are nearly all poisonous to some degree. It has taken 5000 years of plant husbandry to breed the poisons out of our foods. And then the GM folks put them back in for profit.