The simplest, and usually the least expensive regulators, have unbalanced first and second stages. Many have very impressive breathing characteristics; meaning low initial cracking pressures and high peak flow rates. However, more expensive balanced first and second stage designs usually have a little better performance, especially at low supply pressures. Many, but not all, reliably operate with supply pressures above 3,500 PSI found mostly outside the US.
Second Stages:
Unbalanced second stages are typically larger, and therefore heavier, so there is more surface area of the diaphragm to produce force to open the valve. A balanced second stage requires less force to operate the lever so do not need such a large diaphragm.
Another second stage feature that adds manufacturing costs is a knob or dial that adjusts the spring tension holding the valve closed. This was originally developed by Kirby Morgan Corporation for use in commercial diving where the supply pressure was constant at the surface rather than over-bottom pressure delivered by a first stage Scuba Regulator. The umbilical supplied diver has to adjust the second stage to balance supply and spring pressure manually over a pretty wide range.
The feature was copied and has some limited utility in recreational diving. Mostly for increasing the breathing resistance on an Octo so it does not freeflow too easily when not in someone's mouth. Modern second stages can also be so sensitive that they will freeflow a little when currents act against the diaphragm. This is especially a problem using DPVs or being towed on a sled.
Another second stage feature that adds cost is a venturi assist. It is usually in the form of a movable deflector of orifice in the air jet. It can reduce inhalation resistance under most conditions but can cause freeflow when out of the diver's mouth. Some are manual and some are automatic.
Multi-directional hose connections are also available that some people find reduces stress on the mouthpiece. There are a few side exhaust and pilot operated regulators but they are much rarer in the market. I personally like side exhaust designs since they are ambidextrous in use and to lend as an Octo. They tend to breath a little wetter since gravity does not direct water leaking past your mouthpiece to the exhaust valve in most common psotions.
First Stages:
The job of the first stage is to reduce pressure from the cylinder and deliver a pretty constant lower or Intermediate Pressure (IP) to the second stage. Unbalanced first stages have been around the longest, have the fewest parts, have not changed much beyond some refinements, and are typically the least expensive. They do not provide as good a flow rate or as consistent an IP as balanced designs over the full range of supply pressures. However, this characteristic does have a functional advantage.
As I have written in other posts, balanced first stages are usually so efficient at low supply pressures that a distracted diver will not notice that the tank is down to the IP, usually around 130-140 PSI over bottom pressure. Unbalanced regulators typically have noticeable increased resistance at around 300-500 PSI, but are still breathable with additional effort for substantially longer. You can be the judge if this characteristic matters to you and your dive profiles.
There are two basic types of balanced first stages, flow-through piston and diaphragm. It is possible to build an unbalanced diaphragm but the manufacturing cost to make it balanced is so minor that I don’t believe there are any on the market. It does not appear that there are significant differences in retail cost of either design. Both have been around 25-30+ years and are well proven. Diaphragm designs are usually a little simpler to install antifreeze kits for cold water applications.
Most first stages also come in Yoke or DIN connections so they can be sold internationally. DIN is less common in the US but is often the same price or only slightly more. Other features that may be of some value to you are a rotating array of ports for IP hoses and the number of HP and IP ports available.
General:
As already mentioned in other posts, the biggest price jumps result from using more exotic materials, especially stainless steel and titanium. Both ad a lot to the manufacturing cost due to the material cost and increased machining time. 300 series Stainless does not significantly reduce weight, but has much better corrosion resistance than Brass and does not require chrome (or other types) plating. Titanium grades used in regulators have even better salt water corrosion resistance and about half the weigh of Stainless.
There are other factors that may justify higher prices such as company stability or longevity, distribution and repair availability, quality control, customer service, and warranty. Styling, packaging, and marketing also come into play, but consumer value is much harder to quantify.
With fantastically rare exceptions, all Scuba regulators fail by leaking or free-flowing rather shutting off supply. Regulators in need of maintenance can have increased cracking pressure, but rarely significantly restricted peak flow rates.
There are a lot of fine points that can be debated, but I hope you find this is a reasonable general overview. Virtually all regulators undergo testing to a European standard and some to a US Navy standard using an instrumented breathing machine simulating depths to 198' on air at different demand rates.
Opinion: 
Personally, there are a number of under $200 regulators on the market that I would not hesitate to use on working dives to 200'. It is my opinion that safety is improved more if you buy a less expensive regulator and spend the savings on some form of exercise to improve cardio-pulmonary function.
