Best Answer - Chosen by Voters
Primarily, windmills cost a lot because they are not being mass produced - if you only made 100 cars a year, each car would cost $300,000.
Also, though, the windmill costs money because it's made of stuff, and stuff costs money. The "big propeller" is actually more like 3 or 4 big airplane wings. The generator would be just like the alternator in your car, except the size of your whole car. If you want to put that power in batteries - we'll get to them in a second - then you need to turn it into DC power, which will require a sophisticated inverter, and the batteries would be huge lead-acid batteries.
I propose a counter-question - how much does a coal plant cost? Or a natural gas plant?