Incandescent lamps are the simplest way (or the bruteforce way) of getting light generated. You heat the tungsten filament to a very high temperature so that it become red-hot and then super hot that it starts emitting light (just like heating an iron-rod). So, you can adjust brightness by adjusting the temperature of the filament which is generally done by adjusting the voltage supplied to the bulb.
LED works completely differently. A diode (a simple chip) emits light when electrons pass through the depletion layer. See here for more about how LED works: https://creativentechno.wordpress.com/2012/01/07/how-led-works/
So, why is dimmable LED lamp expensive?
The amount of light emitted is not controlled by the voltage by the number of electrons passing through the band. So, the only way to control the amount of light emitted is by controlling the current. But there is a side-effect here that the property of light changes with the change in the current. That is the color of the light can slightly change, which is in general not a desired effect.
So, the other way of reducing light is swich off the LED. Yes, switch off and switch on the LED so fast that our eyes can not detect the flicker. Our eyes have retention power that they can't detect a break in light that happens very quickly. Remember, your computer monitor works at 50Hz and traditional film-reel works at 24 frames per second i.e., 24Hz.
So, we can generate an illusion of low-intensity light by controlling the percentage of time LED is OFF and do this very fast -- several 100s of times a second.
A dimmable LED lamp is expensive because it should have an inbuilt switching circuit that rapidly switches and LED on and off, several 100s to 1000s of times a second.