As far as being more expensive, that's only if you go the "high end" UL route.
Look at my "basics":
Pack: GoLite Jam2- I got it here (used, but perfect) for $80, 21 oz.
Sleeping Bag: EMS Mountainlight, 800 fill down with a pertex microlight shell, $179, 31 oz.
Shelter: Oware Cattarp 1.1, got it used here, $40, 8 oz.
Bivy: Titanium Goat Ptarmigan, $99, 7 oz.
Stove: Supercat, 12 grams?, $0.79
Raingear: Driducks, $19, 12 oz.
the list goes on....
Now compare this with a TNF or Mountain Hardwear tent, bag, Gregory internal frame pack, water filter, etc...I built nearly my whole UL kit for the price of a MSR Hubba Hubba + big Gregory pack.
Where this UL/SUL thing gets expensive is constantly updating gear (which I don't do) and trying to shed more weight after you've already hit a minimum.
At this point I'd have to spend good money to get lighter (new pack, tarp, bag, bivy, etc.).
But the point is, if you're starting out fresh, it can be done pretty cheap in comparison.