Because a digital hearing aid doesn't just amplify sound, it also filters.
Amplifying all the sound in a room is just about as useless as hearing nothing.
Depending on how advanced the system is the more expensive it gets.
What type of hearing aid you need you should figure out together with your audiologist, it all depends on what type of environments you frequent, live in, work in and your type of hearing loss.
If you work in a noisy office with lots of background sound you might require a more advanced system than someone who works in a quit room with little background noise.
The price itself is dictated by the number of microphones in the hearing aid + the proprietary algorithms to filter and represent sound.
What you're basically paying for are the features (you want or need) of a hearing aid and research that has gone into developing them plus all the stuff that goes with it being a medical device.
You can watch the reviews for a couple of different hearing aids at http://www.youtube.com/user/HearingAidDocs
Building something yourself which only makes sound louder will eventually damage your hearing even more, so be very careful with that.