More blades give you more cost, but very little increase in efficiency.
Three blades turns out to be the optimum.
With four or more blades, costs are higher, with insufficient extra efficiency to compensate. Edit: prompted by a comment, here's some elucidation - this is more expensive per unit electricity generated, if you go for more, but shorter, blades: if you have 4 shorter blades (rather than three longer ones), the blades are sweeping through a smaller volume of air (i.e. an amount of air with a lot less energy), swept area being proportional to the square of the radius. And the efficiency is only a few percent higher.
You get higher mechanical reliability with three blades than with two: with two blades, the shadowing effect of tower & blade puts a lot of strain on the bearings. So although it costs more to make a three-bladed turbine, they tend to have a longer life, lower maintenance needs, and thus on balance reduce the unit cost of electricity generated, as the increased availability and reduced maintenance costs outweigh the extra cost of the third blade.
Edit2: For the nitty-gritty of wind-turbine aerodynamics, wikipedia isn't a bad place to start: http://en.wikipedia.org/w/index.php?title=Wind_turbine_aerodynamics&oldid=426555179