Well; the interesting thing is that the Third World is actually a majority of the world's population. Most of Asia, Africa, the Middle-East, and Middle/South America are controlled by "third world" countries.
The explanations are many, but no one theory has managed to capture the whole scope of the problem, the forces which conspired to keep a majority of the world's population in poverty and underdevelopment.
I won't go into why these regions are still behind in human development; I would like to point out the reasons why they have yet to develop into first world nations.
(not in order of importance)
1. Recent historic domination by imperial powers.
2. Constant interference by the current global powers in the internal affairs of these countries.
3. Climatic conditions which render entire nations desolate wastelands or areas with constant natural disasters.
4. AIDS and other diseases which are difficult for the first world to deal with, much less the third.
5. Global economic policies which favor certain first world nations, people, and companies over others.
6. Wars between third world nations and first world nations against third world nations.
7. Inability of Secular, Democratic, Socialist, and Communist thought to penetrate many of these societies. Third world nations that developed secular governments aimed at common social prosperity have seen their nations rise to the top of the third world heap (and an eventual rise into the first world)
8. Inability of regional alliances to develop that would protect third world nations from instability, internal wars, and wars with non-local third world and first world nations.
I can explain any of these if anyone would like. I can, of course, elaborate upon request.