Amazing that here in 2012, there's still no road or railroad through Darien.
The lack of a road has made the Darien gap into a barrier that helps prevent the spread of agricultural pests and diseases between North and South America. It's awful terrain to build in. There isn't much trade between Panama and Colombia. The area has served as a hiding place for the FARC and other Colombian paramilitary groups. So there are plenty of reasons to not build a road, and not many to build one.
Trans-American transport of goods would seem to be a good reason as the Latin American economies (Brazil especially) comes into their own (though perhaps ships would still be cheaper than trains). Also, improving transportation would weaken FARC's hold on the area. But you're right that the incentives now are much weaker than they were, especially back when Panama was part of Colombia.
Even without the multiple border crossings and customs inspections goods would have to endure if they could travel by land between Brazil and the US, cargo ships are cheaper than cargo trucks, albeit slower. And if speed is your need, cargo planes aren't that much more expensive than trucks per ton-mile, and you can go on a straight path, whereas New York to Rio is fairly circuitous via land.
