Why not use just plaster board, the way they do in North America? Isn't it cheaper/faster/less labor to install?
Not necessarily. Plaster boards (at least, over here in the Netherlands) are often used as system walls in office buildings, or to place new walls inside existing houses (e.g. to create an extra bedroom). They aren't often used as a building material in new structures.
Once again: the big difference between Europe and America is that you guys mainly build houses from wooden skeletons, and we use stone, brick or (prefab) concrete.
My new house for instance is built with large concrete blocks. The outside walls are then isolated on the outside with rockwool, and then an extra layer of bricks is added on the outside, both for looks and function (see wikipedia article:
http://en.wikipedia.org/wiki/Cavity_wall).
The inside walls are just bare stone blocks, which are then covered with a thin layer of plaster to create an even surface. We decided to cover these walls with glassfiber (to cover any future cracks in the plaster) and paint, but our neighbours have just painted on the plaster work after thorough sanding and leveling, and the other neighbours added an extra layer of structured plaster (which they painted with different colors here and there).
There are different building guidelines/restrictions in every European country though, so what the Dutch see as normal isn't used in say, the UK or France. But in general the basic here way to build is stone, not wood.