The last time I visited a prison (about 16 months ago) as part of a college class the guards told us that on average it costs around 35-40 grand a year to house an inmate (although I do not know if this figure is perfectly accurate, esp. after the recession, it should be a good ballpark figure). It would initially seem that this is much more costly than execution, and I believe it would be, but there are some other figures that are more difficult to factor in that might be the reason for the claim:
1) It costs more to house death row inmates because they require solitary cells (usually) and a higher concentration of guards around those cells.
2) There are an endless number of appeals in such cases that all have to be both written and reviewed. This would probably be where the majority of the cost for execution come from. They tie up a great deal of the bureaucracy's time, which costs a lot of money.
3) Death row inmates are not permitted to do any physical labor for the prison they are being held at, where as regularly incarcerated individuals usually do some form of labor at the prison.
4) There would also be the costs of the final preparations and the actual execution itself, but it is hard to imagine this could be that high of a figure.
5) Lastly, there is the chance that some postmortem, post-execution investigation unit may prove the person's innocence and the state would be liable. Here I am imagining the proceedings of some non-profit organization like the Innocence Files.
Other than those five things, I have never really come across any other monetary costs associated with execution that could make it more expensive than incarceration, but I could be wrong. It could always just be a cop-out that people use when they are just morally against execution and want to make it a viable standpoint fiscally. Or maybe they just believe a life is invaluable and that is the ultimate cost of execution.