You usually have much more room to add insulation to an attic than you do to walls.
Using 2x6 studs in a wall is a relatively cheap upgrade from 2x4, in many cases it can be done for almost no extra costs (assuming you're allowed to put 2x6 on 24" centers instead of 16" centers like 2x4)
However, going up to 2x8 or larger starts to get progressively more expensive for little additional gains.
Roughly speaking, to cut your energy loss in 1/2 you have to double the thickness of insulation. This is fairly cheap when going from 3" to 6", but get's more expensive when you go fro 6" to 12", or from 20" to 40". So every inch of insulation you add get's diminishing returns.
In addition to the 'hot air rises' issue mentioned above, more attic insulation also helps keep a house cooler in the summer. The roof is a major source of heat during the summer as it gets much hotter than the walls. My attic can get over 150° F with the sun beating down on the roof.