Another reason, in addition to the reasons mentioned above (which are all absolutely true), is they are true high-performance items. They're built to strict tolerances and bubba joe from your local auto parts store can't build you one. Well, I guess he could, but if you plan on having an engine for long, I wouldn't suggest using the bubba joe supercharger...there's a very good chance that within a very short time that it's going to be slinging parts all over the road. Both superchargers and turbochargers are relatively complex components. Most of the tolerances of these parts are down to thousandths of an inch. Anytime you need precision like that, you need very expensive equipment to design/create those parts...that cost is passed down to the consumers as well.
We are living in a great time though. These things are becoming less expensive every year. As manufacturing processes become cheaper, specialty parts such as these will become cheaper.