Uh...yes it does. Longer focal lengths mean more glass, more materials, more distortion correction, larger barrels for fast apertures, and so on and so forth. There's a good reason a super wide-angles are usually a $1000 or less while super telephotos can be several thousands of dollars: there's just more too them.
OK, the build quality of the kit zoom is pretty pathetic, but the image quality is perfectly acceptable. If you're having problems with it, it might just be the thing behind the camera
$200-$300 is chump-change for a telephoto lens. Serious, fast telephoto lenses like the 400mm f/2.8 telemonster cost thousands of dollars. At around $200, the 55-200 VR is a great deal.
I would say that the 55-200 VR is a bit more solid and has image quality that is as good as or better than the kit lens.
Here are some samples taken using the 55-200 VR on a D40:
These last two were taken at 200mm and they are nice and sharp. For a telephoto lens this cheap to be this good at the long end is saying a lot about image quality.