It has a better taste and the process of making olive oil is costlier.
Note that most olive oil sold in the U.S is not olive oil. There's been a lot of press coverage recently on the scam of substituting either mix of oils or just one cheap oil (like canola) and selling it off as more expensive olive oil.
Olive oil is also not the best oil for all uses. For example it does not get hot enough to be used well in recipes that require deep frying.