What is the difference between cheap and expensive extra virgin olive oil?

"Virgin" olive oil is mechanically pressed. "Extra virgin" olive oil additionally satisfies basic quality criteria, and is generally the first oil pressed from a batch of olives. The terms have nothing to do with pesticides or "chemicals".

Extra virgin olive oils vary widely, both in overall "quality" and actual attributes. Adulteration is common; something labeled as "extra virgin olive oil" may have non-extra-virgin olive oil added to it. It may have non-olive oil added to it. (My understanding is that walnut oil is a common adulterant.)

There's a lot of factors influencing price, including actual quality, brand recognition, and how nice the label looks. A more expensive olive oil is not necessarily higher quality. If there's a brand that's four times the price, that simply means that the store thinks people might pay that much for it. (Perhaps simply because people assume that price equals quality.)

Tetsujin's comparison to wine is a good one. There are reviews of olive oil out there, but they'll likely concentrate on really expensive olive oils, and probably not the ones available in your local shop. If you want a Decently Good Olive Oil, go with a well-known brand (they're less likely to be adulterated). If you want "top shelf" olive oil, go to a specialty store, pick something that looks tasty, and hope for the best. In either case, get a small bottle: It'll be fresher by the time you're done with it, and if it turns out not to be amazing, you won't have spent as much on it.