From time to time, I've gotten really good explanations. One was that the perfect candidate fell in their laps, and not to look at it as "I failed," but they the company got really lucky.

Another was that I did well and people liked me, but they realized they actually needed to focus on a different position. This meshed with things I learned during the interview.

Granted, these are the low-risk rejections where giving me the reason doesn't open up the company to anything legally, but it's still appreciated.