Friction, for the most part.
When you screw into pieces of wood–or any material, really–you’re forcing the screw and the wood together very tightly. The threads provide a lot of surface area, all of which is in contact with the wood. That means you’ll need a lot of force to move it.
For materials like wood, it will also expand a bit after the screw has been put in. It’ll wedge itself into the threads, so in addition to providing friction that prevents rotational movement, you’re also preventing movement straight in or out of the screwhole, because you’d need to apply enough force to break the wood in between the threads. That’s why there’s often bits of wood that come out if you do pull apart a screwed-together object.
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