The HVAC industry in the US enjoys massive gross margins on this equipment. Prices are supported primarily by licensing laws.

You can't legally break into the business, but DIY on your own house is entirely possible: the equipment is available for 1/4 to 1/3 of the "installed" price and some of the more climate-friendly refrigerants do not require an EPA license to purchase.

Yes, the work involves electrical, light plumbing and welding, a specialized tool or two, attention to detail, and definitely physical labor, but for a lot of engineers that's just fun stuff to do on a weekend - really fun stuff when you save over $10K per installed system (at the 3-5 ton unit capacity level.)