What is the difference between cheaper oil paints and more expensive ones?
There are many things that can set apart great paints from others:


working-qualities of the oil 
specific source of the oil 
chemical pigments 
pure-mineral pigments 
colorfastness of the pigments 
metals in the pigment 
consistency of pigment grain-size 
pigment density / fillers.


Each of these can mean different things to the rest of the materials you will use in producing your painting, which is a bit beyond the scope of this question.