While some answers have already been given here and this is an old thread, I just thought I'd add this for posterity and what not:
The main reason that CPU's and GPU's differ in performance so much for certain problems is design decisions made on how to allocate the chip's resources. CPU's devote much of their chip space to large caches, instruction decoders, peripheral and system management, etc. Their cores are much more complicated and run at much higher clock rates (which produces more heat per core that must be dissipated.) By contrast, GPU's devote their chip space to packing as many floating-point ALU's on the chip as they can possibly get away with. The original purpose of GPU's was to multiply matricies as fast as possible (because that is the primary type of computation involved in graphics rendering.) Since matrix multiplication is an embarrasingly parallel problem (e.g. each output value is computed completely independently of every other output value) and the code path for each of those computations is identical, chip space can be saved by having several ALU's follow the instructions decoded by a single instruction decoder, since they're all performing the same operations at the same time. By contrast, each of a CPU's cores must have its own separate instruction decoder since the cores are not following identical code paths, which makes each of a CPU's cores much larger on the die than a GPU's cores. Since the primary computations performed in matrix multiplication are floating-point multiplication and floating-point addition, GPU's are implemented such that each of these are single-cycle operations and, in fact, even contain a fused multiply-and-add instruction that multiplies two numbers and adds the result to a third number in a single cycle. This is much faster than a typical CPU, where floating-point multiplication is often a many-cycle operation. Again, the trade-off here is that the chip space is devoted to the floating-point math hardware and other instructions (such as control flow) are often much slower per core than on a CPU or sometimes even just don't exist on a GPU at all.
Also, since GPU cores run at much lower clock rates than typical CPU cores and don't contain as much complicated circuitry, they don't produce as much heat per core (or use as much power per core.) This allows more of them to be packed into the same space without overheating the chip and also allows a GPU with 1,000+ cores to have similar power and cooling requirements to a CPU with only 4 or 8 cores.