Why do we get a redshift?, this question used to bug me a lot. First I'll tell you an approximate answer (the approximate explanation only recovers the first term in the Taylor series expansion of the right answer, honestly)

The approximate explanation says that it is a Doppler shift. When an ambulance is moving toward you the pitch of its siren is higher than when the ambulance moves towards you. The motion of the ambulance "pushes" the wave crests of the sound closer togeter in the direction of motion and spreads them apart away from the direction of motion. This change alters the frequency of the sound and hence the pitch. A similar argument is propsed for why light from a galaxy that is moving away from us appears red.

Now here is a thought experiment to explain why this is a misconception when dealing with light. Imagine that you are travelling on a beam of light. When you get emitted from your host galaxy the universe is young, perhaps our galaxy has not even assembled itself yet. The expansion rate of the universe is low and so your "Doppler shift" will be quite low. By the time you reach my eye much time has passed. The expansion rate of the universe has increased and the redshift I measure is concurrent with that fact, not with the recession velocity of your host galaxy at the time that you were emitted. When then did your photon learn of the increase of the expansion of the universe?.
The Doppler principle can not explain this. The correct answer comes from the metric of space and time itself. The semi-classical photon is intimately tied to space itself. (from here on in the explanation becomes touchy feely and I can only recommend looking at the maths and a proper derivation of the cosmological redshift.) I believe that the true answer will not come out until we have a quantum theory of gravity and it will be discovered that the boundary conditions of the photon are connected to the geometry of spacetime. This is certanly the effect we see at the moment with the redshift but that statement might be meaningless. If you imagine that it is true than you can almost imagine that the photon gets streched as spacetime expands because the photon is connected with the idea of measurement and length and the structure of spacetime. I can't really say much more than that.