The intersection of two groups $(U,\odot_U)$ and $(V,\odot_V)$ is first, and foremost, the set $$
G = U \cap V \text{.}
$$
To turn this into a group, one would need to define a suitable operation $\odot_G$ on $G$. But where is that operation supposed to come from? Since $U$ and $V$ can be completely different groups, which just happen to be constructed over two non-disjoint sets $U$ and $V$, it's not at all obvious how $\odot_G$ is supposed to be defined. Thus, the intersection of two groups is merely a set, not a group. The same holds of course for the union of two sets - again, where would the operation come from that turns the union into a group?
In fact, since we generally consider groups only up to isomorphisms, i.e we treat two groups $G_1,G_2$ as the same group $G$ if they only difference between the two is the names of the elements, the union or intersection of two groups isn't even well-defined. For any pair of groups $U,V$ we can find some set-theoretic representation of $U$ and $V$ such that $U \cap V = \emptyset$, and another such that $U \cap V \neq \emptyset$.
Now constrast this with the situation of two subgroups $U,V$ of some group $(H,\odot_H)$. In this case, we know that $\odot_U$ and $\odot_V$ are simply the restrictions of $\odot_H$ to $U$ respectively $V$, and the two operations will therefore agree on the intersection of $U$ and $V$. So we can very naturally endow the set $$
G = U \cap V
$$
with the operation $$
\odot_G = \odot_H\big|_{U \cap V} = \odot_U\big|_{U \cap V} = \odot_V\big|_{U \cap V} \text{.}
$$
With respect to subgroups, the intersection is always a subgroup. The union needn't be a subgroup.
– Suhas M Apr 26 '14 at 13:48