Walk-up/on-the-day fares for train tickets in the UK are very expensive.
Picking London to Edinburgh as an example (~400 miles in ~4.5 hours) you'd pay £125 off-peak and £150 peak fare for a train today (there are generally 2 an hour).
Booking in advance (up to ~84 days in advance) you can get those same tickets as cheap as £24 but you're tied to a specific departure time/date (and changing date/time can be expensive).
Even now the cheapest tickets from Nottingham to Stansted are £52 sans railcard for the end of January. Maybe Nottingham-Stansted airport is a special case?
Some digging and there are advance tickets to Ely available for £5, and Ely to Stansted airport is £14 for a regular ticket.
Yes, there are plenty of cases where you can find cheaper tickets by "splitting" the journey. Many can be found with sites like http://www.splityourticket.co.uk/ but not in this particular case, good spot on splitting at Ely.
Ah, that particular case is because there are no advance fares for the train between Ely and Stansted Airport, so most of the train ticket sites don't bother to look for advance fares for any of the legs.