Risk vs Reward
Face it, savings bonds just aren't all that exciting. Unlike buying stock in a company, which makes you part owner, when you buy bonds you're purchasing a company or government's debt; in short, you're acting as a banker and loaning them money. The more likely you are to get paid back, the lower the interest rate is; US government bonds, for example, are extremely safe, but often return less than the rate of inflation.
Whereas stocks only make you money if the company pays out a dividend or if you sell the stock at a higher price than you purchased it for, a bond is a legal obligation to repay a loan. If you buy corporate bonds and the corporation ends up in financial trouble, you'll be in better shape than the stockholders as the bondholders are legally required to be paid first.
Aside from the perceived creditworthiness of the bond issuer, the return is also determined by the length of time the bond must be held before it can be redeemed. Short-term bonds are less risky, so they pay out less. A long-term corporate bond can pay out quite a lot of interest, but you risk the company going out of business in a few years and having no money left to pay off their loans. Possibly a bigger risk, though, is inflation; if you buy a long-term bond when inflation (and thus interest rates) are low and inflation then rises, you can end up losing money in real terms, even if the bond pays out as promised. The US government offers TIPS, or Treasury Inflation-Protected Securities, where the return is pegged to inflation; this removes inflationary worries, but naturally the extra protection means a lower interest rate.