The problem with actual questions is that if you make the questions difficult, the number of ways to phrase the answer gets really big, so you have to write a program which can understand natural language to work out if you answered correctly or not. If you can do that, then you are most of the way to writing a program that can answer arbitrary questions, and then the whole method becomes useless.
On the other hand, if you make the questions simple, with clear cut answers, for example, "How many letters are there in the word 'cat'?" then you have to build a database of thousands of questions, and it's plausible that the people trying to break the captchas could either learn all the questions, or steal the database of questions, and then you're back at the beginning again.
The fun with the image based captchas, is that you can have 5 characters, 26+10 different characters to choose from, so you have 60 million * the number of ways you can deform the image, questions you can ask, each with a specific correct answer which a computer can easily understand. The guys breaking these captchas clearly have ways of breaking down the problem, for example if you can work out how to break the image into individual characters, you go from 36^5 down to 36*5 possible questions.
And in reply to bloodofeve, if you could standardise these captchas, then you would just need one application to break all captchas, and it would be easier for someone to get a hold of the program to generate the captchas (since you'd have to share it with everyone if you wanted to make it a standard) so it would be easier to write that one application. It's the same problem the music companies are having with DRM, the system is fundamentally insecure so it's just a matter of time before it is broken.
For captchas to actually work, long term, you need a way to generate millions of questions, which can be answered in a simple, structured way, without including the answer in the question in a way that a computer can understand.
(Edit: and of course, this is all negated if you can find a way to get a human or two to solve captchas day and night for 1¢ a pop, which is happening already.)