Why the price differential between a cheap hammer and an expensive one?
The range is actually broader than that. You can get a Stiletto for about $200 US. 

The difference between the cheap one and the expensive one depends. Cheaper ones may have handles that go into a head, while more expensive ones may have a cast handle that extends all the way to the base of the grip. Some of the ones that are more expensive and just have a head attached to a handle will actually be made out of composite materials that are designed to absorb the force of repeated nailings. 

Cheaper handles that are one cast piece will generally be made out of brittle or light-duty metal. This will not be your father's hammer, and might (literally) shatter if you hit something too hard or wrong with it. 

Personally, I never buy cheap tools. They always let me down... or worse, injure me. All of my hammers are Estwing brand with the rubber shock reduction grip. It's worth the money for an expensive hammer if you ever plan to use it all day. Otherwise, a cheap one is fine, just be careful what you hit with it lest the handle crack.