^^ The above post pretty much sums it up!
But to word it simpler, you pretty much pay for:
1) Increased image quality at wider apertures- most lenses are usually at their sharpest when "stopped down" (aperture set to a larger number than it's lowest- for example, f/5.6 on a f/1.8 lens). A "faster" lens will have be stopped down less to get that maximum sharpness
2) More light- wider apertures allow more light (for example, f/2.8 is just barely useable indoors while f/5.6 will be impossible to use without a flash (or getting blurry pictures))
3) Greater depth-of-field control: You have greater control on subject isolation (blur the background more to your pleasure, for example, in portraits)
4) Better for sports/moving subjects: Sports involve fast-moving subjects, which require a very high shutter speed (for example, 1/800). In order to get enough light to accompany such a high shutter speed, a very wide aperture is required to get enough light for your high shutter speed. For example, the $7000 400mm f/2.8 vs the $1600 100-400 f4.5-5.6. On the long end, you will be able to get a MUCH faster shutter speed with an aperture of f/2.8 versus f/5.6.
Is it worth it? That depends on your shooting style and how much you expect out of your pictures. If you are just coming from a point-and-shoot camera, you might be just happy with a 18-55 kit lens, while many of us must have the $1050 17-55 f/2.8 IS
, going after every little pixel of sharpness
Now regarding Macro, Depth of field (how much is in focus) gets thicker at further distances, and gets incredibly thin at closer distances.
It also gets thinner with increasing focal length (mm) and gets thicker with lower mm.
Heres an example:
55mm, 2.5 inches away from the subject, f/5.6
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These shot at f/13, 100mm. Notice how with such a high f-stop there is literally no background and it seems just barely possible to get even just the whole drop in focus.
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Now these are both at f/1.4, 50mm, notice how the background blur is less significant compared to the above 3 pictures when I'm further away.
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Now here is one at 250mm, f/5.6:
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