As Fraggle has been want to say (and no doubt he will arrive in this thread in the fullness of time), we didn't really domesticate the dog or cat, they domesticated themselves. The dog was a camp follower and the cat took advantage of our granaries to get an easy meal. They were domesticated by their natural affinity for whatever phase of existance we dwelt in at that time.
It's funny that you only mention dogs and cats as domesticated animals. Don't forget about the other animals, cows, sheep, goats, pigs, how many others? These are animals we have domesticated, but not made into our friends. The Laplanders that follow the migration of the caribou are an interesting study in this regard. They never domesticated their herd animal, instead they have been almost domesticated themselves. They follow the herd, obeying the will of the herd in it's migrations.
The buffalo has been domesticated somewhat. It is a recent animal that has been introduced into the "domecile". Good thing too, otherwise they'd most likely be dead.
As for gorillas, monkey, elephants, all these animals are too smart to be domesticated. The partnership that would have to be entered in order to have a true union would be too much for the people involved. We control the animals, not the other way around. Elephants are known for becoming mean in captivity. Gorillas, while mostly peaceful, are know for bouts of violence that would leave shattered bodies in their wakes. Chimpanzees also become violent after adolescence. These animals are smart enough to realize that they are not in their proper social context. Our ways are not their ways.
But, if you want to look at it this way, elephants are used for manual labor in some parts of the world. Who knows what these creatures will develop into in a few thousand years.
I've also read an article about a Russian scientist who has been selectively breeding fur foxes for docility over the past 40 years or so. They're not quite tame, but not quite wild. They have acquired many traits that are associated with domesticated animals, floppy ears, splotchy coloration, short legs. They handle people well. They allow themselves to be petted and pampered. But, once they go back to the wild, they revert to wild ways very quickly. I'm sure there are other examples of this going on. I have heard many stories of people trying to raise raccoons as pets. There's no breeding program though.
I guess that may be what it comes down to. People don't want to expend effort to domesticate an animal that they themselves will not see the happy results. People want monkeys for themselves, not their great-great-grandchildren.
Edit: Heh, Fraggle beat me to it...
