So others have gone and given brief definitions for most of these things, but I don't really think they cover why normal regex's are what they are.
There are some great resources on what a finite-state machine is, but in short, a seminal paper in computer science proved that the basic grammar of regex's (the standard ones, used by grep, not the extended ones, like PCRE) can always be manipulated into a finite-state machine, meaning a 'machine' where you are always in a box, and have a limited number of ways to move to the next box. In short, you can always tell what the next 'thing' you need to do is just by looking at the current character. (And yes, even when it comes to things like 'match at least 4, but no more than 5 times', you can still create a machine like this) (I should note that the machine I describe here is technically only a subtype of finite-state machines, but it can implement any other subtype, so...)
This is great because you can always very efficiently evaluate such a machine, even for large inputs. Studying these sorts of questions (how does my algorithm behave when the number of things I feed it gets big) is called studying the computational complexity of the technique. If you're familiar with how a lot of calculus deals with how functions behave as they approach infinity, well, that's pretty much it.
So what’s so great about a standard regular expression? Well, any given regex can match a string of length N in no more than O(N) time (meaning that doubling the length of your input doubles the time it takes: it says nothing about the speed for a given input) (of course, some are faster: the regex * could match in O(1), meaning constant, time). The reason is simple: remember, because the system has only a few paths from each state, you never 'go back', and you only need to check each character once. That means even if I pass you a 100 gigabyte file, you'll still be able to crunch through it pretty quickly: which is great!
Now, it’s pretty clear why you can't use such a machine to parse arbitrary XML: you can have infinite tags-in-tags, and to parse correctly you need an infinite number of states. But, if you allow recursive replaces, a PCRE is Turing complete: so it could totally parse HTML! Even if you don't, a PCRE can parse any context-free grammar, including XML. So the answer is "yeah, you can". Now, it might take exponential time (you can't use our neat finite-state machine, so you need to use a big fancy parser that can rewind, which means that a crafted expression will take centuries on a big file), but still. Possible.
But let’s talk real quick about why that's an awful idea. First of all, while you'll see a ton of people saying "omg, regex's are so powerful", the reality is... they aren't. What they are is simple. The language is dead simple: you only need to know a few metacharacters and their meanings, and you can understand (eventually) anything written in it. However, the issue is that those metacharacters are all you have. See, they can do a lot, but they're meant to express fairly simple things concisely, not to try and describe a complicated process.
And XML sure is complicated. It's pretty easy to find examples in some of the other answers: you can't match stuff inside comment fields, etc. Representing all of that in a programming language takes work: and that's with the benefits of variables and functions! PCRE's, for all their features, can't come close to that. Any hand-made implementation will be buggy: scanning blobs of meta-characters to check matching parenthesis is hard, and it's not like you can comment your code. It'd be easier to define a meta-language, and compile that down to a regex: and at that point, you might as well just take the language you wrote your meta-compiler with and write an XML parser. It'd be easier for you, faster to run, and just better overall.
For more neat information on this, check out this site. It does a great job of explaining all this stuff in layman's terms.
Why it's not possible to use regex to parse HTML/XML: a formal explanation in layman's terms
is not a duplicate of this question #59205300. This is not a real question, it is a opinion based treatise that should not be used to hide regex tag parsing of html/XML or any SGML. If that is true, then over 100,000 SO questions need to be hidden as well ! Peoples questions shouldn't be stopped from answers just to support accademia theory, SO isn't a place for this. Regex is not a vilin here – Garton