To be fair to the National Grid there - a 400kV power line is substantial: it has to have phase separations and be buried deep enough, plus space for reactive compensation from being buried.
Rail lines go though towns by design, and as you see from comments even here, the one thing people really hate the thought of is power lines near houses.
Roads also go to places with buildings and have junctions, plumbing, foundations and are generally hard to dig past. But there are places where they do follow motorways: https://commons.wikimedia.org/wiki/File:M6_motorway,_northbo... (also canals).
Rail lines go though towns by design, and as you see from comments even here, the one thing people really hate the thought of is power lines near houses.