I am preparing a 5,000 km hike through Europe right now and will use some pilgrimage trails as well.
First of all I would like to state that if it is not for religious reason, I would advise against hiking European pilgrimage trails - they offer some of the worst hiking in Europe. On pilgrimage trails you will do lots of road walking, even often close to really busy roads. On top of all that the popular trails like the Camino Frances will be incredibly crowded. There is much, much better hiking elsewhere in Europe and I am using pilgrimage trails only if there is no other trail available.
Secondly, I do not understand why you think that things are "inherently" more expensive. How have you come to that conclusion? I am German and hike hiked extensively in both the US and all over Europe and I cannot say that things are more expensive in Europe. Especially since the Euro has weakened recently even the exchange rate is more in you favour. You can expect about the same price level in Western Europe as in the US, maybe a bit more expensive, but not much.
If you specifically want to do a pilgrimage trail try to avoid the popular ones like the Camino Frances. Also keep in mind that summers can be very hot in Southern Europe and you will not have much shade especially on road walks. If you must hike in Spain, use trails that parallel the Camino Frances. I will use the Camino del Norte, which parallels the Camino Frances to the North and is agreable to hike on even in summer because it is so close to the sea. Another interesting option that I will use is the Camino Primitivo, which is the least developped and crowded camino in Spain. If you combine those two you will hike around 900 km from Irun to Santiago and you will have less crowds and a more agreable climate than on the Camino Frances.
Naturewise the most interesting camino is the French Podiensis from Le Puy en Velay to the Pyrenees where you could connect with the Spanish caminos. It doubles as a French hiking trail called GR 65 and is therefore not routed along so many roads. The GR 65 continues on to Geneva in Switzerland as Via Gebennensis again is a very nice hiking trail. I would definitely prefer the GR 65 aka Via Podiensis and Via Gebennensis to the Spanish Caminos! Much, much nicer hiking than on the Spanish caminos!
If you want an even longer trail then use the Swiss caminos, too. In Switzerland hiking will also be not as hot as in Spain or even France. The same applies for the German caminos. I have personally hiked parts of the one from Tillyschanz to Lake Constance (Bodensee). You can find a good overview of the caminos here:
Generally speaking: the further away from Spain and Santiago the less people and the more pleasant the hiking.
I would not recommend the Via Francigena. As it is hardly known you will have lots of problems finding maps and guidebooks. Also hiking in Italy in summer will be very hot and on top of all that the trail is routed along a bike trail, the EV5. I think you would have a much more pleasant trip on the French Camino!