This tradition is thought to come from a few different roots. For example, let's begin our bride-toting origins tour in medieval Europe. This story goes something like this; during the Middle Ages, it would have been improper for a bride to show any eagerness or desire to consummate her marriage -- and therefore she needed to be carried over the threshold by her groom.
Virginity aside, most other origins of this tradition come from superstition and belief in evil spirits. Carrying the bride across the threshold in Western Europe, for example, was once thought to help keep away evil spirits. You wouldn't want a clumsy bride to trip as she walked through the threshold and bring bad luck to the marriage, nor would you want the evil spirits hidden in the soles of her feet to curse the house as she walks through the doorway.
Today the tradition is considered a romantic gesture rather than a result of superstition or modesty.