Personally, I don't find it that much more expensive than other types of sewing.
Sewing supplies of any sort are expensive. You can easily pay $20 for a nice dress pattern that you may only use once, and the notions (buttons, zippers, elastic, interfacing etc) really add up. And fabric isn't cheap either!
So when someone says machine embroidery is expensive and they are not referring the the start up costs - what are they comparing it to? MY DH has "guy type" hobbies and he can easily spend $200- $300 in supplies for one project. At least he is understanding when I spend that amount to make one quilt.