Let $G$ be a (finite?) group. By definition, the Eilenberg-MacLane space $K(G,1)$ is a CW complex such that $\pi_1(K(G,1)) = G$ while the higher homotopy groups are zero. One can consider the singular cohomology of $K(G,1)$, and it is a theorem that this is isomorphic to the group cohomologies $H^*(G, \mathbb{Z})$. According to one of my teachers, this can be proved by an explicit construction of $K(G, 1)$.
On the other hand, it seems like there ought to be a categorical argument. $K(G, 1)$ is the object that represents the functor $X \to H^1(X, \mathbb{Z})$ in the category of pointed CW complexes, say, while the group cohomology consists of the universal $\delta$-functor that begins with $M \to M^G$ for $M$ a $G$-module. In particular, I would be interested in a deeper explanation of this "coincidence" that singular cohomology on this universal object happens to equal group cohomology.
Is there one?
Akhil, you're thinking of this the opposite of how I think group cohomology was discovered. The concept of group cohomology originally centered around the questions about the (co)homology of $K(\pi,1)$-spaces, by people like Hopf (he called them aspherical rather than $K(\pi,1)$ spaces, and Hopf preferred homology to cohomology at that point). I think the story went that Hopf observed his formula for $H_2$ of a $K(\pi,1)$, which was a description of $H_2$ entirely in terms of the fundamental group of the space.
This motivated people to ask to what extent (co)homology is an invariant of the fundamental group of a $K(\pi,1)$-space. This was resolved by Eilenberg and Maclane. Eilenberg and Maclane went the extra step to show that one can define cohomology of a group directly in terms of a group via what nowadays would be called a "bar construction" (ie skipping the construction of the associated $K(\pi,1)$-space). Bar constructions exist topologically and algebraically and they all have a similar feel to them. On the level of spaces, bar constructions are ways of constructing classifying spaces. For groups they construct the cohomology groups of a group. The latter follows from the former -- if you're comfortable with the concept of the "nerve of a category", this is how you construct an associated simplicial complex to a group (a group being a category with one object). The simplicial (co)homology of this object is your group (co)homology.
Dieudonne's "History of Algebraic and Differential Topology" covers this in sections V.1.D and V.3.B. I don't think that answers all your questions but it answers some.