First off is to define what you class as cheap/expensive,
Take the Hawke Vantage range £69 - £429, I'm not going to say that £429 is cheap, but that scope is still part of Hawke's lowest H2 class of glass,
Sidewinders that used to be their best are now their middle H5 class £469 -£649, their highest class of H7 glass starts at £699 & tops at £1119.
If you mean the difference between, say a £50 mountmaster & a £190 airmax of the same spec, it's probably got a better external finish, a thinner crisper ret,
maybe a more user friendly adjustment system with less free play/slack, possibly assembled with low friction bushes rather than metal/metal which will wear over time.
If you go up to something £300+ you get smoother/finer adjustment side focus systems, more choice of ret's, & much more detail to them, turrets that are capless lockable single hand adjustment with better more positive feel,
maybe better glass coatings for less glare & threaded for a sunshade, maybe even go FFP.
12-15 years ago I was more than happy with my "Hawke sport 30/30 or basic mil dot ret" scope, because they were so much better than open sights,
but now they appear so basic with fixed PX, thick clumsy rets that obscure so much of the target on aim it's a wonder I hit anything.
It's like triggers, You only really notice the shortfalls when you go back having used something better.