From Alan Wolfe's article, "Why Conservatives Can't Govern," in the Washington Monthly. Unlike so many of these cute titles, Wolfe has a straightforward answer:

Conservatives cannot govern well for the same reason that vegetarians cannot prepare a world-class boeuf bourguignon: If you believe that what you are called upon to do is wrong, you are not likely to do it very well.

Also:

Because government is the one institution that allows us some control over our future, conservatism, which distrusts government so much, is best viewed as a natural counter to liberalism, which, if left unchecked, tends towards wasteful bureaucracy. Indeed, as the Bush administration fully proves, conservatism remains a force of opposition even when it purports to be a governance party.

It's not so much the "fox guarding the henhouse," though for things like Halliburton's contracts or Duke Cunningham's kickbacks, you can certainly make that argument stick. It's that you can't expect people to manage something that they believe should not exist and do it competently. This is why I expect the "conservative" movement to split in my lifetime, into the social-angry-"tear it all down" fragment and the competent-rational-"we need government but not this much of it" fragment. The two don't belong together, and letting the wrecking crew try to build and maintain the buildings just doesn't work.