In David Jones' book An Instinct For Dragons (ISBN 0415927218), which I not yet read, he hypothesizes that early humans knew of three basic types of predators: raptor, big cat, and serpent. Over time, the ideas ran together, creating the idea of a creature that embodied all three predator types at once: the dragon. According to the review in Scientific American, Jones got the idea after he observed that vervet monkeys in Africa have three distinct warning calls, one for each type of predator.

It seems to me that this idea is particularly compelling if you accept the evidence that humans originally came from Africa and later spread across the world. I like it because it's a simple, reasonable hypothesis for the existence of a dragon creature in most of the societies around the world.

Forgot to add in my initial writeup: The Cow's idea above could explain the way dragons are thought to act, but not the fact that almost every culture has roughly the same conception of a creature that doesn't exist.