The number one fact people seem to know about it is "Oh, the mould tooling is really really expensive", which is kind of true, but doesn't really tell the full story.
The issue is that the mould is operating at very high pressures, rapidly temperature cycling, and still requires very high accuracy. Plus you need it to survive for the life of your production run.
On a large scale, this means using hardened steel[1[ milled or EDM'd from a solid block. The texture of the inside of the mould cavity directly determines the surface finish of your parts, so it needs to be polished mirror smooth, even though it's probably not flat.
Then it gets even more fancy. The moulds usually need channels bored through them as close as possible to the cavity, which will allow coolant to be pumped through to set the plastic faster so it can be ejected. Some complex shapes also have internally embedded heating elements to keep the plastic liquified for long enough to reach where it needs to be.
Then you have the ejector mechanisms, usually some pins driven pneumatically to push the solid moulding out of the fixture at the end of the cycle. They need to retract to precisely the right depth during moulding otherwise you end up with those little dimples characteristic of IM parts.
And it gets crazier still: some parts will have embedded metal or other plastic parts such as bearings or threaded screw inserts. These get inserted each cycle by a robotic fixture when the mould is open. It then closes up and the plastic is injected around them. Doing this with multiple types or colours of plastic is the 'double-shot' technique that lets you put rubberised grips or other embedded features into things.
Oh, and time is money, so each part is ejected as soon as possible to start on the next cycle, so everything has to be incredibly delicately choreographed, but left long enough that you get a decent yield of useable parts.
When I learned about all of that (and probably a whole lot more I don't know), it makes sense how expensive the whole thing is upfront. There's also the costs incurred by your factory in shutting down production to change out the tooling to run your job.
One of the coolest things I've seen online is Kenneth Maxon's home-made injection moulding rig (although just about all the other things he does are pretty astounding too. I'd claim it's only technically home-made because he lives there ;p)
 Protomold get away with doing it a lot cheaper because they mill moulds out of aluminium, which is much less durable but entirely acceptable for short production runs.
 http://www.users.qwest.net/~kmaxon/page/side/mold_mach_137.h... 
 WARNING: serious 90's webdesign, and sadly a lot of broken images.