What makes crema?
Crema is a foam comprising coffee oils, carbon dioxide created during coffee roasting and air trapped in coffee grounds. There are several exhaustive Coffeegeek articles in the subject. (I also think electric-pump-based coffee/espresso machines increase crema by aerating brewing water.)
Why there is little crema in coffee from Aeropress?
Oils and bubbles, being lighter than water, travel up when brewing. When Aeropress is used as described in the manual, crema is filtered last and gets absorbed in the grounds and paper filter.