Short answer: think energy, not entropy.
Long answer:
Think of the field lines evidenced by small iron particles in presence of a bar magnet. They form curved shapes, slowly reverse direction and end up connecting the magnet's North with its South pole, right? Now think of the same kind of magnetic field lines being generated by one of the magnetic domains inside your ferromagnet. These indicate the preferred orientation for other domains, at different positions, and would lead to a cancelling of the total magnetic moment. If left to their own devices, the domains within a ferromagnet will adopt a disposition that minimizes the total magnetic moment. This is actually explained in Wikipedia:
Why domains form
The reason a piece of magnetic material such as iron spontaneously divides into separate domains, rather than exist in a state with magnetization in the same direction throughout the material, is to minimize its internal energy. A large region of ferromagnetic material with a constant magnetization throughout will create a large magnetic field extending into the space outside itself (diagram a, right). This requires a lot of magnetostatic energy stored in the field. 969
To reduce this energy, the sample can split into two domains, with the magnetization in opposite directions in each domain (diagram b right). The magnetic field lines pass in loops in opposite directions through each domain, reducing the field outside the material. To reduce the field energy further, each of these domains can split also, resulting in smaller parallel domains with magnetization in alternating directions, with smaller amounts of field outside the material.
On the second part of your question, the demagnetization of a ferromagnet, while thermodynamically spontaneous, is kinetically blocked by an energy barrier which needs to be overcome. If you consider the energetic effect of a small reorientation of one of the magnetic domains, it will always be energetically uphill, so it just does not happen (at temperatures below the <PERSON> temperature). This is how ferromagnets remain magnetized for a long time, in a metastable state.
Addendum: What about the alignment within the magnetic domains? Through-space magnetic interaction, the one we represent through field lines, is not the only magnetic interaction. There also exists magnetic exchange (and superexchange), by which the direct overlap between magnetic orbitals (or mediated by a bridging atom), and which can favour the ferromagnetic alignment between two local magnetic moments. This interaction can be very strong, but, being local, is very susceptible to defects. Alongside domain barriers, there magnetic ordering breaks down, separating two well-ordered regions, or domains. 969