[rab] You just made me google the answer to that, cos I didn't know, but according to this page, anyway, "there was a mutual decision in 1976 between the parties to hold the event [the Iowa caucuses] on the same day because they understood the need to make it a heightened media bonanza of sorts."
There has been some change this year because the Republicans moved their caucuses in Iowa forward to 3 Jan. It was only after that decision was made that the Democrats decided (presumably for reasons of not handing momentum to the GOP race coverage) to move theirs forward also. The two parties do indeed use separate caucusing methods in Iowa (I think the Republicans do secret ballots, whereas Democrats tend to use the non-secret "go stand in the corner of the room relating to your candidate" solution. There has been quite a bit of shuffling this year of the primary calendar, mostly with different states jostling to put themselves earlier on in the process. I expect this drives up the cost for the candidates.