If it's any consolation, you're not alone - saxophones, French horns, English horns, oboes, trumpets, alto flutes, and cornets are all transposing instruments as well.
The concept evolved in the 17th and 18th centuries when brass and some woodwind instruments were built using pretty basic methods which meant they could only play in certain keys, and were constructed in those keys. Although modern technology means construction in one key is not necessary, tradition means the practice has continued.
For a "transposing" instrument, the score is written at a different pitch than that which the instrument sounds. It is usually referred to by the keynote of its natrual scale - 'clarinet in A' for example. This means an A will sound, when a C appears on the notation. Since A is a minor third loweer, notation has to be written a minor third higher, hence "transposing". If required, the score can be re-written, or transposed, or the musician must be relied on to make the appropriate mental adjustment whilst playing what is written, and hearing something different.