That's a commonly asked question - and not all that easy to answer.

Weight and finish are easy to define differences. I think they are mostly a result of using better materials and higher tech manufacturing methods.

Some construction differences can be found as you move up the Shimano food chain. For example, Ultegra hubs have double labyrinth hub seals while the less costly 105 and below make do with wiper seals.

What you are really asking about, however, is durability and performance. In general, with average care, most bicycle components last such a long time that I think it's hard for the average rider to form valid conclusions about durability. Performance tends to be a subjective thing. They all do what they are supposed to do. I think that, if I move up or down 2 group levels, I can sense a difference in "crispness" of operation. I'm not sensitive enough to feel that same difference if I move up only 1 group level.

The price differences, as you approach the top of the line, can get crazy. Dura ace cranks, for example, list at twice the price of Ultegra cranks.

Bottom line. There are real, but subtle performance differences among the groups. Some of the differences, however, are only cosmetic. Your task is to balance cost vs performance vs pride-of-ownership value. Everybody draws that line differently.