Why do some states have closed primary elections?

Why do states, like my home state of Pennsylvania, have closed primary elections? My parents are both registered Republicans (to protect their jobs) but are socially liberal and supportive of Democratic candidates. However, because of the closed primary election process in place in PA, they can only vote in primaries for Republican candidates or not vote at all.

My neighbor across the street is a registered Independent because he feels like neither party has his interests at heart. He can't even vote in the primaries unless an Independent candidate is on the ballot.

I disagree with the reasoning provided by the Closed primary Wikipedia entry. I believe each person should be free to use his/her vote how he wants it to be used.

Why do states still use this nonsensical process?