As the focal length decreases, the depth of field increases as well. Why is this? I'm not so much interested in a physics lesson as I am interested in a simple, down-to-earth explanation.
Pretty sure I answered this one before but I cannot find it.
This is a little oversimplified but I hope it is easy to visualize at least.
For this discussion, the aperture should be considered the same, since the variance we're discussing is focal length.
So, a telephoto lens focussed on the same subject from the same distance as a wide angle lens will have shallower depth of a field as a result of higher magnification, but the angle of view between the two images is vastly different as a result. A telephoto lens and a wide angle lens focussed on the same subject with the same angle of view, will have the same depth of field (there is variation but it is negligable).
The difference here? angle of view. So, this is about your distance to the subject, really, not specifically the focal length. Vary the distance to accomodate the differences in focal length and the depth of field remains virtually the same. What does change, though is the foreground and background ratios for it. Wider angles tend to have more of the background in focus and telephotos tend have more of the foreground. The result of this behaviour can create an illusion of shallower depth as the telephoto would magnify the background blur. That's one reason that landscape photographers don't stand way back with a telephoto (haze and other factors would also play a role, probably more significantly).
You can test out my information at various sites that offer a DoF calculator such as DOFMaster for example. For example: for a distance of 10m (@ f/8 ) then 10mm DoF = Infinite and 100mm DoF = 3.08m. Now, move the 100mm lens to 100m (10 times further away) and the 100mm DoF is now equal to infinite. The angle of view of the 100mm lens is now the same as the 10mm lens.
In summary, wide angle lenses do not have more depth of field than telephoto lenses and this is demonstrated by both showing the same DoF for the same angle of view.