There are many factors which force the price of a favourite down to well below its true price or implied probability.
Media attention and popularity are the main ones here. Some players or teams are good enough to win anyway despite the weight of attention - e.g. Manchester United, the most popular football team in the world, are often shorter than they should be.
Others, on occasion, struggle under the weight of the support like Tim Henman. In England, Henman's price has always been shorter than he deserves for every match throughout his career. In futures betting, his price is never anywhere near the all-up match-by-match price of his path required for victory.
In 2003 Lleyton Hewitt was an interesting player to price up. It was clear by June that something was wrong with him - two changes in coach within six months, the lawsuit with the ATP, and poor form. Bookmakers and punters were divided as to whether his 2003 season would see a return to his best or slide further into a slump.
Using the bookmaker Centrebet's prices for every ATP match Hewitt played in the four months between Hamburg and the US Open, laying Hewitt for a stake (not risk) of £100 at the final price in all 23 matches, would have recorded you a profit of £318. In only three matches was his price any higher than 1.35 - low risk, high reward.