Price differences between ND filters are often attributed to differences in quality, as with most other consumer products.

Pricier ND filters tend to have glass optics while their cheaper counterparts would use plastic instead. Glass would more often that not give you images with fewer aberrations as compared to plastic due to the nature of the material, and is also naturally more costly to produce as glass optical glass is an inherently pricey material.

Another obvious reason would be differences in filter size - Bigger filters would require more material to produce and thus be more expensive. Variable ND filters would also naturally be more expensive due to their more complex construction.

Bearing that in mind, seeing as how you're planning to purchase your first ND filter, it may be wiser to invest in a cheap one until you are sure of your need for one. It might be a good idea to invest in a larger filter and several step up rings which would allow you to use a single ND filter on a range of lenses with different filter sizes, thus eliminating the need to purchase ND filters in many different sizes. Do keep in mind though, that ND filters work better when closes to the front element of your lens, and adding step up rings would naturally add to the distance between the two.