Blade grinders have 'blades' but if you feel them you will notice they are not sharp. They don't cut the coffee, they simply 'smash' the beans. As a result the 'grinds' it produces are a vast array of sizes, and equally importantly, shapes. Hopeless for espresso as the water simply takes the coarse of least resistance through the puck of coffee and it produces a curious mix of over & under extracted coffee. Not nice.
Entry level burr grinders don't do a whole lot better either, some of them having plastic/composite burrs which wear smooth fairly quickly, unsurprisingly.
Good burr grinders, i.e. those selling for GBP200 and above in the UK actually have burrs that are quite sharp. As a result they do 'cut' the coffee bean. The correct term is probably 'mill'. These sharp burrs, or teeth if you like, ensure the resulting grinds are very uniform in both size and shape. This is what you are paying for in a top quality grinder.
The need to minimise the heating of the coffee if you are grinding any volume is addressed in three ways; 1) the use of highly conductive material (metal/metal alloy/ceramic) for the burrs to dissipate the heat away 2) larger diameter burrs so the working surface of the burr is increased, thereby spreading the thermal load over a wider area 3) reducing the revolutions at which the burr turns, which in turn requires gearing and usually a more powerful electric motor, all of which add to the cost.
All of the above needs to be mounted into a very rigid assembly otherwise the burrs would be able to flex/move as the resistance of beans stuck the working face of the burrs. This obviously adds to the cost as robust engineering as described above is needed. It demands high quality metals/metal alloys and plenty of them.
The upside is you aren't buying what I like to refer to as 'consumer grade junk'. When the burrs eventually wear out in a high quality grinder (stated as every 400Kg in a Mazzer Super Jolly) you can simply replace the burrs and you have a new grinder essentially. If you are bothered by such things this is the world our grandparents knew and it is a lot more environmentally friendly than throwing cheap, poorly made items out every year or so.