I am led to believe that for males this is an evolutionary trait that is meant to frame the sexual organs to potential mates. Sitting with one leg crossed over the thigh of the other draws attentions to the genitals. This is also where the body language idea of leg crossed to or away from someone signalling attraction comes from.

We don't do it when we're sat beneath desks, because the arms on the chairs and height of the desk would make it someone what difficult.

Interesting, not least because it is not true all over the world... most Africans simply do not do this things of crossing legs, and they find our Western thing of crossing arms pretty weird too.

I feel sure that these behaviours are part of a defensive strategy, basically telling people to go away by indicating that "my torso is shut off". 

Sometimes its quite obvious that girls in short skirts have to cross their legs just to prevent excessive exposure when sitting down. I think that proves this behaviour is part of a defensive system.

The fact that many of us claim to feel comfortable in this cross leg posture means really that we do not feel safe with legs apart, ie we feel vulnerable to some degree.