In truth, the main advantages of high priced ammo are often in the shooter's mind. But some ammo, such as match grade, really is better, made more carefully and under tighter quality control than regular ammunition. That means it is more accurate and more uniform in performance.
In other ammo, like expanding bullet pistol ammo for defense, there is not really a lot of difference; shot placement is a lot more important than what a bullet does or does not do in a body. The fabulous pictures of perfectly mushroomed bullets in the gunzines are usually just that - fabulous in the real meaning of the word.
But even there, that ammo is made in relatively small quantities and usually has better quality control than the made by the ton "white box" ammo. Misfires are less likely, accuracy is better, and again performance is more uniform.
But don't make the mistake of buying expensive ammo and then not shooting it in practice because it is expensive. Unless you shoot enough of it to verify reliability, how do you know it will work when you need it?
Jim