The first explanation is psychological and focuses on our perception of our lane being slower; it is not always the reality. In the event of a traffic jam we are already deeply frustrated and are subconsciously looking for further evidence to support or enhance our frustration. One element of this results in the perception that the lane we are in is moving slower than another one; making us feel even more unfairly treated. Similar to this is the fact that the event is only memorable if you are actually in the slower lane. This confirmation bias means that you are less likely to remember any instance where you were in that faster lane.
The next two explanations assert that it may not just be our perception. Often we are correct; the other lane is actually moving faster. The mathematical explanation is extremely simple and relies on basic probability: the slower lanes have more cars in them. This means that you are more likely to be in the slower lane in the traffic jam.
In addition to this we often overlook how similar we all are in terms of our actions.; everybody in the traffic jam is trying to find the fastest lane. This practical point means that if a lane is moving particularly fast, then other people will change lanes to the point where the trend is reversed. Even if you change lanes early on, soon you will find that your lane is no longer the fastest. If you have changed lanes then others will have too. This explains why being in the faster lane is only a temporary enjoyment and why, in general, the other lane will always appear to be moving faster.