Why does Ron Swanson work at the Parks Department?

Mostly, Ron works in the department because of the Rule of Funny. Having a dour anti-government personality is great for Leslie to play off of.

However, Ron also keeps his job because he wants to make the government as inefficient as possible. He doesn't just see high spending as bad but everything the government actually gets done. He keeps his position so he can slow things down and so he can hire inefficient people. This is especially highlighted in his episodes with Tom and April, who he hired because they were inefficient and unmotivated.

While vastra360's answer is correct and it is great for comedy effect, it may also interest you to know that Ron says this in the Pilot episode:

I’ve been quite open about this around the office: I don’t want this parks department to build any parks, because I don’t believe in government. I think that all government is a waste of taxpayer money. My dream is to have the park system privatized and run entirely for profit by corporations, like Chuck E. Cheese. They have an impeccable business model. I would rather work for Chuck E. Cheese.

This suggests another reason for his continual work for the department is to stop them from actually achieving anything (unless of course they're privatized, in which case he could become super-productive... doubt it though :))

My theory is that Ron Swanson met former Parks department director Michael Tansley in the early 90s when Tansley was smoking marijuana in all the parks in Pawnee.

Infuriated by this pot-smoking liberal government worker who represented everything he despised, Ron attempted to remove him from office but found the bureaucracy of local government to be impenetrable.

So, he got a job at the parks department and gradually worked his way to the top and stole Tansley's job.