First of all, these are MUCH smaller than SD cards - microSD are better for comparisons (granted, those are much cheaper too) - but there are two reasons why those cards are priced like that.
Secondly - it's no mystery that console makers lose money on hardware they sell, and recoup part of the cost on accessories and licenses on games - and it's easier to upsell $30 4GB memory card, than charge $280 or $330 for portable console.
Thirdly - making them proprietary prevents you from putting those cards in any random microSD card reader and putting whatever you want on them - and Sony spokespersons publicly admitted that they are proprietary to make eventual piracy harder.