When building a transformer the core is of a certain Magnetical hardness. When changing the polarity in a transformer the core, like anything else, is resisting the change and and it takes a while before the core changes polarity as well, something called Hysteresis.
http://en.wikipedia.org/wiki/Hysteresis
To compensate for the losses the transformer designers have to build the transformers a bit bigger and thus heavier. Now, It turns out that at 50Hz (the normal european freq) the losses induced by Hysteresis are bigger than at 400Hz, so to keep the losses (and thus weight) as low as possible they settled on 400Hz.
This is all I remember from school, which was quite a while ago...