Well, I can't speak for every car on the market, but my '02 Audi A4 does have modules in each door. Each module controls the window and lock in each door, along with sensing the window switch, door open/close sensing (to put the dome light on/alarm functionality), window pinch protection, auto up/down, lights on the door, etc. Imagine how complex a wiring job it is to do this without modules, especially for power windows, where the driver's door has switches for all the windows. Instead, the wiring harness going to the door only needs power, ground, and data lines. Also, speakers, if there are any in the doors.
This allows for things like opening/closing windows via remote, turning on footwell lights/door marker lights only for doors that are open, and having the instrument cluster warn of individual doors being ajar (instead of a single "door ajar" light). It can simplify diagnostics as well. Say that one door's power lock isn't working. With the hardwired setup, you'd have to trace wires all through the car to find the problem. With a module, you can pull a diagnostic code from the module that will tell you the problem (e.g. open/short on lock solenoid).
What's funny is, even my steering wheel has a module. Supposedly it's for steering wheels that have buttons in them (for radio control, manu-matic/tiptronic shifting, etc.). Even though my steering wheel is a basic one (no buttons), the module is still there.
As R&D costs are amortized and the cost of the modules drops, these features find themselves in cheaper cars as well. My friend's '01 Corvette has door modules too, and it's only a 2 door car.
Older cars, and cheaper newer cars probably do use a single module for everything.