Not all kitties do it. When I used to use regular litter Miss Kitty never buried anything. Now that I use feline pine she does bury the solid waste. When they do it outside it's to cover their tracks (i.e. so other animals don't find them), but I think many housecats have been domesticated away from it. I'm sure some of the cat-xperts here will have more info.
Neither of my cats cover their urine either. They just wee and leave!
I use the cat litter crystals, they are a lot more expensive but the brand I use doesn't smell at all. You'll need to shop around though as some of the crystals absorb well but smell really nasty.