The best example is in complete bikes. Road bikes are available from $100 to $10,000 in the shops in my area. The $100 variety would be OK for riding to the store, along the beach, etc. As you move up the price scale you get better components and a better quality ride. At about $1,500 - $2,000 you reach a critical point where anything more and you start paying for some specific attribute - lighter weight, lighter wheels, better overall aerodynamics, a specific use bike (tri-bikes are an example) - but 'overall better' is probably not a factor in the premium price.

I use Cane Creek 40s on a few builds I've done - great, solid headsets that I've never had a problem with. If I was to building a cheaper utility bike for riding to the store or beach, I could get away with a 10 series, or even something cheaper. If I was going to build an off-road bike I'd probably spring for a 110 series with its (Advertised) better quality materials and processing, and '110 year warranty'. Chris King headsets are like the $10,000 bicycle - there's no real reason for me to pay that much extra; they are nice, and very well made, but the cheaper Cane creek 40 has been doing just fine for me.