Well it depends on what "returns" you're thinking about -
$500 - If you're looking for cheap, fairly reliable, basic transportation, you can buy a hybrid bike for $400-$600 that will get you from point A to point B in relative comfort. Just don't expect to go "fast" as cheap comfort comes from big fat tires.
$800 - If you're looking for fast reliable basic transportation you can get a road bike for between $700-$900 that will work. Spending more money isn't going to get you a faster bike (in the commuter sense of "fast"). However, there are drawbacks, like most bikes at this point have Sora shifters where you cannot shift from the drops.
$1400 - For between $1200 and $1500 you can get a road bike that's fast enough for racing and frankly, above this point you get diminishing returns on speed. This is the point at which you're really unlikely to get any speed improvements by buying a faster bike. At this point you also get more race features, like shifters that let you shift from the drops and a solid wheelset.
$2200 - For between $2000 and $2300 you start to get into the land of full carbon bikes. This is the point of diminishing returns for comfort. In my experience, a $2200 Specialized Roubaix is noticeably more comfortable than anything below that price point (well, in road bike with a skinny tire - there's stuff as comfortable below this with a fat tire, but it's going to be slower). By "comfort" I'm referring to things like - Will my hands feel fine, for feel like crap after riding 40 miles? Will I got over cracks in the road and think "Oh, that was a crack" or will I think "OMG that hurt". :-)
Above this point we get into things like "stiffness" and "responsiveness". I'm the most familiar with Specialized bikes, so I'll talk about those. The Roubaix is designed for comfort (in a fast road bike) at the low end and becomes more stiff and responsive (while still being the same comfortable ride) at the high end. The Tarmac, though, is designed to be stiff and responsive at the low end, and more comfortable while being even more stiff and responsive at the high end. You might buy a mid-tier Roubaix because you like the more relaxed ride, but want something that has that more responsive feel than at the low end. Or you might buy a midlevel tarmac because you like the snappy racy feel, but you want something that's easier on you when you hit the bumps in the road.
$5500 - For $5000 to $6000 you get a bike that's extremely responsive, very vibration absorbing, and frankly most dedicated racers won't even be able to tell the difference between these and the more expensive bikes. Above this is the level of severelly diminishing returns, even for people with tons of money and who care about getting up that long hill half a second faster. There are some drawbacks at this level sometimes, though, in that these are seriously designed race bikes for people who win or lose a race based on a 3 second difference over an hour ride. For example, I own a 2007 SWorks Specialized Tarmac SL, and my wrists are more comfortable after a long ride than than were on the lower model (actually, my wrists are usually completely unaffected by my ride) but the additional stiffness of the frame over the lower model makes my body a little achey at the end of a long ride. Also, the handling is very responsive, but it's almost *to* responsive - I've really had to build up back and arm muscles just to keep the bike going in a perfectly straight line, and I can't just slack off and stare at the scenery for a minute because the bike won't keep going straight - the slight changes in my arms will cause it to steer to one side or the other.
They sell bikes above this price point, but that's the level of "Lance Armstrong sometimes thinks the frame flexes a tiny bit when he goes all out, so we designed something even stiffer". Or "this is the newest coolest latest thing this year, next year you'll be able to get it for a lot less but if you want it right this minute you'll have to pay a ton of money for it".
Hope this helps!