The higher end certificates come with more insurance. Usually the terms of the insurance are such that cashing it in is impossible, but that's another issue.
It's marketing. The higher priced places are not selling to you, they're selling to people that want to buy the perception of security through a) a higher cost and b) selling a name.
I've worked at multiple companies where buy the top tier certs because the higher ups want the site seal from a recognized place. One employer has a portal where the tech staff orders SSL certs, they don't get to see the prices and the only two options are wildcard and EV. Yes, EV certs for staging environments, too. And that portal only works on Internet Explorer :(
That said, since many articles have been written showing the results of an A/B test almost universally point to site seals and lock icons increasing sales, it's not a stretch to think that name recognition of the seals may also have an effect. So paying $1,000 for an SSL certificate that actually increases sales may be worth it in some cases.
Sean