Wildcard certs are more expensive because they cover any and all subdomains. (The perception is that they "do" more, so the price is hiked. I have not the expertise to know whether the issuer actually has to do more, or it's just a bit of a racket.)

The other difference is High-Assurance certs, which involve someone from (for example) GoDaddy calling your business-use land-line phone (which is required) and verifying some information, if I recall correctly.

Other than that, as far as I can tell, you're paying for the opportunity to put some silly seal on your site, bearing the name of whatever company of theoretically good repute, to make your users feel safe from the conniving, thieving, drooling hackers lurking behind each form button.