Many of the big questions are simple, and few get simpler than "where are they?" That's the Fermi paradox if you've never heard of it, the question as to why we do not see any astronomical evidence of extraterrestrial civilizations anywhere in the universe. There are as many potential answers to the Fermi paradox as there are people, and that search for an answer has inspired a great many creative works through the years.
For some people, the answer is equally simple: we just haven't looked hard enough. Over at io9, George Dvorsky signalboosted the work of Fermilab scientist Richard Carrigan, who proposed that one way to observe extraterrestrial civilizations could come through observing "Dyson bubbles"--that is, areas in other galaxies where Dyson spheres have been constructed around their host stars. This would reduce in a significant drop of visible light emissions, but not so much for the infrared. Thus far, to the best of our knowledge, we haven't observed anything like this.. neither Dyson spheres nor any kind of large-scale engineering of the sort we'd expect a Type III civilization, one capable of harnessing the energy resources of an entire galaxy, to create.
"The observational evidence of astro-engineering a complete galaxy is lacking," says Ray Villard at Discovery, "and so it's fair to say that Type III civilizations either don't exist at all, or at least not yet."
I can't help but get the impression this line of reasoning falls into an anthropic trap.
First off, let's have a brief refresher: aliens are alien. It's weirdly tautological, I know, but so simple that most people are apt to completely ignore it--science fiction like Star Trek and Star Wars have helped shape public consciousness in that regard, too. Aliens are not going to be humans with bumpy foreheads--their psychology will not necessarily match up with humanity's in any respect. They will have been shaped by their environment and their history just as we have, and I think it's inappropriate to conclude that an alien species would of course do things that make perfect sense to humans--particularly an alien species with galaxy-spanning capabilities. We only have speculations on what a Type III civilization would be like; we have no idea what it would actually be like.
Beyond that, though, here's my own burning question on this matter: how can we be so sure we'd recognize megascale alien artifacts if we saw them? We're not Potter Stewart searching for pornography--we're trying to recognize artificial constructs made by beings that don't think anything like we do. Sure, one possibility is that no artifacts have yet been observed... another possibility, albeit one that's non-falsifiable and thus of not much value in science, is that no artifacts have been recognized. It's a simple distinction, but it's absolutely key.
Consider it. Couldn't it be possible that some part of what we believe to be the natural universe is actually artificial, but we haven't yet realized that, both because we haven't observed it closely enough and because we don't know any different? Hell, even one hundred years ago there wasn't a scientific consensus on whether galaxies existed outside the Milky Way. What if, at present, we're no more capable in recognizing the artificiality of supposedly "natural" phenomena than an ant would be capable of recognizing the artificiality of the keyboard it's walking across?
We've got to consider the search, of course. As far as I see it, though, it's far too early yet to make any kind of authoritative conclusions about extraterrestrial civilizations. We're still just starting out, after all.