Because... Well, a lot of reasons.
Depending on which country in Europe you're living in (there's 50 of us...) you have to pay their taxes and social fees, which are generally higher since a lot of them have a lot better social security systems etc in place than the U.S.
In Sweden for instance, since this is what I'm most familiar with, we pay a lot of taxes... On everything. Depending on how much you make you pay up to 60% (normally around 35/40%) of your salary in income tax, and everything that is being sold here has a tax called "moms" on it, which is somewhere around 33%. Meaning for every product that costs 100$, 33$ goes straight to the government. This is comparable to VAT, but it's not entirely the same thing. So businesses needs to charge more for a product than in a country where there's a lower tax, in order to make the same profit.
In return for this there's universal physical and mental healthcare which includes a guarantee that you never pay more than ~200$/year for medicine, free education for everyone (you even get paid for getting a PhD), daycare, state pension, and an endless list of things that the state can do for you if you need them, such as getting help with your rent if you have a low income, getting an apartment, getting (proper) wellfare if you don't have a job etc etc etc. Also, all this is available to every citizen, regardless of how much the individual pays in tax.
However, to those who live and work here the prices aren't expensive in the same way that they are to those who doesn't work and live under the same conditions. For instance, Norway is incredibly expensive for anyone who doesn't live there, but in relation to the average norwegian salary it's not as bad as it might look at first for say.. a Swede
So yeah, basically it depends of on the sort of political system that is in place as well as which country you're living in with all the regional variations that exists. It also depends on wether or not the country you live in is part of the EU.
As for being "ripped off", that's something you might often hear from someone who doesn't understand what socialism is or why it exists, or maybe they don't personally get to use the money they pay in taxes and doesn't take any joy in knowing that the money is helping people less fortunate than themselves, or the country as a whole.
Personally, I love socialism