It's the most dreaded word among parents, for once a child learns the impact of "why", there is an endless series of scrambling to find answers.
However, I always encouraged my children to ask this question, sometimes turning it back to them, "what do YOU think?" I think this helped my kids to become more critical thinkers, look for more complex reasons, know that it is ALRIGHT not to know something as long as you don't leave it at that, become more curious about the world, and good negotiators.
A story my son told me yesterday brought this to light. He said that a couple of the kids in his class were thought of as being "the smartest" (which kills my son as he is very competitive) with the exception of one of the teachers for an advanced class he taking. It seems that this "smart kid" is able to retain facts and figures with a photographic memory and has no problem spitting back information, a useful skill. On the other hand, the teacher in the advanced class wants students to be able to "discuss" the information (my son's words) and these bright kids have difficulty doing so. This, however is a skill my son excels at.
My words are that the teacher wants the kids to be critical thinkers. Many parents are encouraged to help their kids "learn" things by giving them computer programs to help memorize, work with them in helping them to memorizing vital information for tests, etc... I can't fault these parents for doing this as they show concern about their children's education. I fault educators and policy makers for not requiring the critical thinking skills in the curriculum (true critical thinking skills, not memorizing the steps to problem solving), and, if it is a part of the curriculum, not training parents (as early those with pre-school aged children) on how to develop a child with critical thinking skills.
Of course, there are times, as a mother with two teens, that I regret teaching my kids that "why" is not a bad word and that it is important to negotiate, like when they ask, "But why can't I go to the dance, get my driver's permit, go to my friend's house, keep my room a mess, etc..."