What is the reason that so many countries left EFTA to join the EU and very few (none?) went the other way?
No sovereign state has yet left the EU, although this may eventually change depending on the actions of the UK in the coming months. Greenland, a province of Denmark, withdrew in 1985, but is not an EFTA member.
EFTA originally developed as a trade organisation containing countries that were unsure of the benefits of the kind of economic integration intended by the EEC (forerunner of the EU. However much of this faded following the observation of the massive increase in foreign trade the EEC partners enjoyed. As such, initially sceptical countries on the boundaries of the EEC/EU applied for membership and left EFTA.
Today one of the current principle benefits of EFTA membership is preferential access to the EU's single market. However this comes with a cost of payments redistributed to less wealthy economies in the European Economic Area, and the requirement of the adoption of EU legislation in certain areas related to the internal market. While they can affect policy at the decision making stage they do not get to vote on the final legislation. It's unclear whether eurosceptics within EU countries would actually see this as an acceptable alternative.