Expense is always relative. Perhaps you are comparing something that adequately cools a very hot room with something that heats a cold one. You can buy an electric radiator that heats a room well but the same price will only buy a cooling unit that is ineffective. Many air conditioners are actually air coolers and only the best of these is worth buying. The others are considered a waste of money.
The advantage of air cooles is that they don't use refrigerants - making them better for the environment. An actual air conditioner works much like a refrigerator. Hot air is sucked in, passed over a cold coil and blown out again, but having a large area to cool instead of the small cupboard space of a refrigerator, the mechanics required as well as the amount of electricity used is huge if a difference is to be felt. Leaving environmental issues aside, the task required of an efficient air conditioner seems great in relation to its price.
The reason that air conditioners are so expensive is that there are a lot of different parts that make an air conditioner to be able to do what it does. There are all kinds of electronic parts that are involved and then are the things such as freon and copper tubing that needs to be used. R-22 is the standard freon that is used in air conditioners and there are huge government restrictions on it. This means that only qualified people should be the ones who work with freon. It is a volitile gas and it certainly is one reason that air conditioners are so expensive.
Then there is having the air conditioning installed. Some people need help with installing a window air conditioner so there is a good chance that the company they bought the AC from will install it but at an extra fee. Standing air conditioners are always more expensive than the traditional window AC. Then there is the smart technology which can be found in air conditioners these days and that too drives up the price of an air conditioner. Air conditioner's are so expensive because there is so much technology and other stuff that makes the AC operate that it garners a steep increase in the retail price.