We recite "Hallel" on the festivals which celebrate our freedom from Egypt. Hallel begins with the words, "Give praise, servants of G-d." Thus, we recite "Hallel" to celebrate the fact that we are no longer "servants of Pharaoh," but rather we are "servants of G-d."
The Megillah, on the other hand, begins with the Jews in exile, subservient to Achashverosh, and ends with the Jews in exile, subservient to Achashverosh. In this sense Hallel is inappropriate.
- Shulchan Aruch Orach Chaim 693, Mishna Berurah 7