i think because he got so caught up that he wasn't paying attention to the person that was under him (pinky) and that ultimately ended with his failure. now saying it outloud it sounds silly. but here's another theory if he did take over the world that would be the end to his ambition and the cartoon. he would have nothing to live for anymore.
Well, he wanted to take over the world, not destroy it.
The brain wanted supreme power *NARF* and Pinky was (saddly) just a toy in his plot.
I belive Pinky would do a much better job of taking over the world, cuz he would probably just ask nicely to the right people. Then he would eat cheese. Brain wanted to take it over by force.
NARF!
I couldn't figure out why he kept Pinky around. I think it was because he had to since they were both in the same lab. But Pinky manages to do something screwy everytime. The funny thing is that Brain never gets to upset and just calmly goes from one plan to the next, despite that Pinky still has to ask what they will do every night.
They reminded me of Ren and Stimpy. Ren was always the brain behind the operations (even though he wasn't that bright) but Stimpy always seemed to mess things up for the both of them. However, they always stuck together. As for Pinky and the Brain, I think Brain just focused so much on Pinky that he always inadvertently seemed to open the door for Pinky to fail. He gave Pinky too much responsibility, so much so that he would fail.