CO2 molecules are heavier and denser than water, and in a closed container, it isn't in gaseous form. So sparkling water is heavier than normal water of the same volume.
Inexpensive sparkling waters are usually produced from purified water than comes from a municipal water supply, that is, like the stuff from your tap but undergoing additional purification for quality control, and it is artificially carbonated.
Many expensive sparkling waters come from privately-owned natural springs and may have distinct mineral compositions that could affect flavor. Additionally, they may be naturally carbonated. Though the exact labelling differs from country to country (and sometimes from state to state), the label should tell you.
(Recently Perrier had to change its label in Europe from ''Naturally Carbonated'' to one reading ''Natural Mineral Water Fortified With Gas From the Spring.'' Though the carbon dioxide gas did indeed come from the spring, it was collected and added to the water during processing.)
Other expensive sparkling waters are imported, and shipping water across the globe costs money.
Finally, some sparkling waters are just priced higher for the prestige value. After all, would your favorite rap star sip cheap sparkling water while fingering his bling?