In your example, this happens because Map can auto-compile certain functions, and N@Sin[#] & fits the auto-compilation criteria. You can read a very good post about it here, by Leonid Shifrin. The fact that autocompilation is the "culprit" here can be verified by turning it off and checking the timing again:
System`SetSystemOptions["CompileOptions" -> "MapCompileLength" -> Infinity];
Map[(N@Sin[#]) &, Range[10000000]] // AbsoluteTiming // First
ParallelMap[(N@Sin[#]) &, Range[10000000]] // AbsoluteTiming // First
gives
13.477214
2.432819
on my machine. So, the parallel version is now faster.
I'm not sure that you are aware of this, but (at least in my experience) using Listable functions and so-called vectorized operations can have much larger potentials for speed-up than using parallelization. Here we would do
Sin@N@Range[10000000] // AbsoluteTiming // First
0.100697
i.e. no need for Map at all.