There actualy is tests done on different compoents etc.. There was a thread short bit ago about what is different about different headsets. Basicaly came down to seals and bearings. Better seals and higher quality bearings which there definately is a difference in. I think we all could agree a chris king headset is one of the best out their but twice the cost.. now is that worth the extra money is a personal choice.

You can find lots of reviews of different components, every year the lower end benefit from the higher end, since the technology advances trickle down. As a experiment why don't you go to the LBS test out the $400 road bike then go ride the $7,000 one and see how it feels to you. See if it shifts smoother, faster stiffere etc.. There is alot of personal preference in frames I admit though, since you might like steel.. or AL.. or CF.. or Ti.. Even in those groups how the frame is built can make BIG difference.