What does an expensive wheel have over a cheap wheel?
The difference in price could be made up of a number of factors:


Brand name
Materials (bearing / axle quality and rim material in particular)
Complexity (double butted spokes to save weight, rim construction)
Hand made (cheaper wheels are machine made automatically)


Wheels vary greatly because there are so many different styles of riding.

Cheap wheels are mass produced from softer materials with heavy spokes and axles and relatively soft bearings. They should be straight but they usually aren't very strong so they buckle out of shape when you hit obstacles (pot holes).

Expensive wheels are produced by hand using tougher materials that have been specially machined for the purpose, weight is trimmed from all components, bearings are hardened and usually sealed against dirt and water. This produces strong wheels which are much better able to deal with abuse. The weight savings go a long way to making you ride faster and turn easier because every time you accelerate you have to give the wheels rotational motion and inertia. The less they (and tyres) weight, the easier that motion is to generate and the less the inertia is (inertia tends to keep the wheel straight on course when you try to turn it).