The reason is partly because of Headroom's successful marketing campaigns... people read their marketing copy in Stereophile and the other magazines, do some research, then go and buy cheaper or other amps. Unfortunately, a lot of people are riding on the backs of more established makers like Tyll, Ray, and Jan Meier. This is not unknown to Tyll, either.
It's fairly easy to make a headphone amp - a number of designs are open-source and the manufacture is not particularly complex using normal electronic parts and standard enclosures like Hammond cases. As the market matures and volumes increase, you'll see more standardized designs and lower prices... witness the popularity of the Chinese products, for example. However, I think the headphone manufacturers have already responded by designing headphones with lower impedances that are suitable for amplification out of stock iPods and other portable media players.