4f transitions are shielded from the external influences by the outermost electrons of the trivalent lanthanides, which results both in weak coupling of the lattice (very small contribution of phonons, neighboring ions are practically not displaced upon transition) and weak crystal field (negligible Stark splitting of the electronic states). I strongly recommend to get some literature on this. The basics are nicely explained in, for example, the classical textbook of Blasse and Grabmeier "Luminescent materials".
I think that Roman's explanation is correct and maybe perfect. However, I would like to add a rule of thumb. "Forbidden transition is narrower than corresponding allowed transition."
While 4f-4f transitions are forbidden ones, the 4f-5d transitions are allowed. (f-f: the same parity, i.e., forbidden. f-d: different parity, allowed.)
I don't know why forbidden transitions are narrower.
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