As you go towards the higher end in any line, you are really paying for higher quality materials and tighter tolerances in the manufacturing process. These lead to:

1. Less weight
2. More precise performance
3. Longer life

The lower end stuff works great but as others have noted there will just be a little more slop (i.e the shifting won't feel as precise). Based on personal experience with my kids bikes that have the lower end stuff on them, they also need to be adjusted a little more often than the higher end stuff.

bmnaut - Ultegra/XTR are the high end stuff. IMHO unless you are a weight weenie or sponsored, they are not worth the money.