Well there are some huge differences, from a mechanical stand point, between a Lionel 2-8-0 and a MTH 4-6-2. Yes they both will have whistle steam but that's where the similarities end. It's like comparing apples to oranges.
The Lionel 2-8-0 is much smaller than the MTH 4-6-2. The Lionel model is powered buy a small RS385 motor with a worm shaft pressed onto the end. This is they style of driveline used in starter set/Lionchief/Rail King locomotives. The model also doesn't have nearly as much add of detail as the MTH 4-6-2. The MTH 4-6-2 is a more detailed model with more separate detail parts. In addition the MTH model uses a larger motor with a drive shaft that connects it to a separate worm shaft in a gearbox. The MTH model is stronger and will pull a much longer train.
The reason the MTH model is more expensive is because it's a larger, more powerful locomotive model. I own a Lionel 2-8-0 model and the MTH 4-6-2 is worth the extra $600.