The difference in price comes from several things:
1. The more expensive lenses will usually have a wider maximum aperture, like, say f/2.8 on longer zoom lenses vs. f/4.5-5.6 on cheaper models.
2. The construction will be higher quality, eg better glass, more lens elements, metal mounts, etc.
3. Advanced features, such as ultrasonic motors (on Canon, at least, prob. most others as well) image stabilization/vibration reduction, etc.
The $$$$ lenses are considered "pro quality," and will take more abuse and give a wider range of possibilities for use than the cheaper models.
That's not to say you can't take great photos with the cheaper lenses. They are, for the most part, good quality, as long as you know their limitations.