Because strings are immutable in languages like Java and C#, everytime two strings are concatenated a new string has to be created, in which the contents of the two old strings are copied.
Assume strings which are on average c characters long.
Now the first concatenation only has to copy 2*c characters, but the last one has to copy the concatenation of the first n-1 strings, which is (n-1)*c characters long, and the last one itself, which is c characters long, for a total of n*c characters. For n concatenations this makes n^2*c/2 character copies, which means an algorithmic complexity of O(n^2).
In most cases in practice however this quadratic complexity will not be noticeable (as Jeff Atwood shows in the blog entry linked to by Robert C. Cartaino) and I'd advise to just write the code as readable as possible.
There are cases however when it does matter, and using O(n^2) in such cases may be deadly.
In practice I've seen this for example for generating big Word XML files in memory, including base64 encoded pictures. This generation used to take over 10 minutes due to using O(n^2) string concatenation. After I replaced concatenation using + with StringBuilder the running time for the same document reduced below 10 seconds.
Similarly I've seen a piece of software that generated an epically big piece of SQL code as a string using + for concatenation. I haven't even waited till this finished (had been waiting for over an hour already), but just rewrote it using StringBuilder. This faster version finished within a minute.
In short, just do whatever is most readable / easiest to write and only think about this when you'll be creating a freaking huge string :-)