Bikesdirect frames and budget entry-level frames are tig-welded from relatively low-grade steel in a factory in Asia and they have pretty poor detailing. More expensive frames are likely to be finished better (paint, details, etc) and outfitted with better components, but often come from the same factories.
If you see a frame for "thousands of dollars" you're probably talking about NJS keirin bikes. NJS is a Japanese agency that certifies bike parts used in keirin races. For whatever reason, only a handful of builders are certified to build NJS frames or parts so they are constantly in high demand, expensive. Of course, they're also beautiful bikes with excellent craftsmanship and exceptional finish work...