A lot of the complexity is as Xei points out, due to a biological arms race. The actual complexity can be rather ridiculous and costly, but it still confers an advantage and so it evolves. For example, let's say Cheetahs are 5% faster than Gazelles, their main source of prey. Now let's say that some Gazelles have stronger legs, which narrows the speed difference to 4%, and so they're more likely to survive, so Gazelles get faster. A Cheetah that can run 5% faster than the new and improved Gazelles and so will be less likely to starve, and so Cheetahs get faster still.
At the end of this hypothetical situation, the situation is back where it started, but both the Cheetah and the Gazelle now pay increased costs. The Gazelle has to build, maintain, and carry a greater amount of muscle (and likely other factors such as requiring increased bone density, etc. etc.) Similarly the Cheetah has the costs of whatever adaptation that allowed it to run faster. From the starting point they're actually worse off, yet these situations still occur because the changes are advantageous.
There are so many ways that these kind of situations could occur. For example a Cheetah might evolve better camouflage so it can sneak closer up, or it might evolve more efficient lungs to increase endurance. Whatever. I've stuck to a single factor here (speed), for the sake of simplicity, but you can see how complexity can increase, even if the net gain in the overall scheme of things is nothing, or even negative.
Xei's example of a species evolving to prey on bacteria is a good example of how something more complicated could evolve. If there are a lot of bacteria, then anything that could use them as a food source would have a big advantage. The process continues from there, and the situation leads to more opportunities for success, and so complexity increases to take advantage of that.
Bacteria are very successful as a group, but there are things where other organisms have significant advantages over them, and at the species level they don't tend to be so successful. By that I mean that they tend to have specific niches, though they are successful within those.
It's a good question, and it's hard to do the subject justice in so few words, so I can only advise on reading a book on the subject for more details. Hopefully I've written enough that you can understand my point though.
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