More expensive wine doesn't necessarily taste "better" - as better is a highly subjective experience, specific to the individuals preferences. But it does tend to taste more "complex", e.g. like more different things at once, and more elegant, e.g. containing rarer flavour notes like oak or earthyness in reds or clearer mineralic taste in whites.
Also, in wine, the price to value ratio is anything but linear. In most European countries, once you've made it past the 8 euro mark, you can get some great wines that get a lot better up to about 30 euro a bottle. After that,paying an additional 100 only gets you a marginally better wine, if at all.
Overall though, the best advice is to drink whatever you enjoy.
Yep, and it can be argued that this kind of complexity spectrum is the foundation of connoisseurship itself, in any domain. The journey from amateur to expert is one of becoming bored with simple, easy-to-understand things, and gradually seeking out more complicated things to satisfy one's curiousity.
Also, in wine, the price to value ratio is anything but linear. In most European countries, once you've made it past the 8 euro mark, you can get some great wines that get a lot better up to about 30 euro a bottle. After that,paying an additional 100 only gets you a marginally better wine, if at all.
Overall though, the best advice is to drink whatever you enjoy.