As far as technology is concerned, a certificate is a certificate is a certificate. Any cert will authenticate your webserver and establish SSL / TLS sessions. Even a $5 cert will do the trick.
Generally speaking, what you get for the extra money is a higher level of background checking by a human. These are codified in the cert itself by the tags Domain Validated (DV) - the lowest level, Organization Validated (OV) - medium, and Extended Validation (EV) - highest level of background checking, often requiring face-to-face meetings, much paperwork to be signed, many records checked, etc.
Where this matters is that a discerning customer might notice if, for example,
www.bankofamerica.com had a $5 certificate from godaddy. You might be suspicious that this is not the real
www.bankofamerica.com, but rather someone who managed to fool godaddy's automated issuing system. On the other hand, if I inspect the cert in my browser and see that it's an EV cert from one of the highly-trusted CAs like Comodo, Verisign, or Entrust then I'll be much more confident that I'm talking to the right person.
Each Certificate Authority will try to throw in extra bells and whistles like warrenty, renewal services, sometimes insurance, etc. Those are really just gimmicks to make them stand out.