To me, it's kind of like winning the lottery. People talk about wanting it all the time, yet the reality of such an event would change our lives in ways we cannot possibly comprehend. Are we truly ready for the demands that such an experience would give? With the lottery, people's entire mindsets need to change. Spending, taxes, work, day-to-day living would suddenly be all foreign to us. Sure, we might not have to worry about paying our bills (unless we really squander the new-found wealth), but we also would not know how to talk to our family or our friends. How secretive would we have to become? Who could we trust?
A lot of the same questions come up if Jesus were to appear to us directly. Historically, He only seems to do so physically for people who are ready for such an experience, whose lives are in such a place that they can literally drop everything and follow Him. Often those people have to deal with isolation from their family and neighbors as well as accusations of insanity. These are the saints, those who are willing to devote absolutely everything into the service of God. And even some of these most devoted are not visited directly by God.
Jesus is with us, always. Thomas got to see Him face-to-face. Blessed are those who have not seen, but still believe.