Why does everyone say elite cyclists are doping but none of them get caught even though they are regularly tested?
A perfect example is Lance Armstrong with the recent allegations.
Basically, cheaters have an advantage over the testers - they pioneer new techniques or develop drugs that are designed to minimize the risk of detection. Further, the cheaters usually operate under a veil of secrecy - they don't want their efforts to be detected. For this reason, blood and urine samples are sometimes stored for years to allow more advanced tests to be run, once more advanced tests are developed.
The new drugs or techniques are usually detected in the end, frequently because a member of the inner circle confesses. Authorities may also successfully arrest members of these groups and confiscate material used to circumvent existing tests. However, these aids can provide their users an advantage over other competitors until a valid test is developed.
Some forms of cheating are basically impossible to detect. For example, blood doping (which is one of the things Lance Armstrong is accused of doing), where remove your own blood a few weeks to a month before a race, store it, and then transfuse into yourself during a race to help boost your red blood cell count. Since it is your own blood, there are no chemical signatures to spot if you do it. The only thing they can look at is your hematocrit (red blood cell count), but since they vary for different people and over time, they are forced to pick an arbitrary limit (50%). But since the limit is arbitrary, cyclists just started blood doping right up to that limit, knowing they couldn't get caught.