Pure essential oils can be costly, but are they worth the added expense when compared to fragrance oils? To answer this question, you have to understand the differences of not only how they are made, but what the intended purpose is.
Fragrance oils are oils that are made specifically for scent. They are created to provide a nice aroma to your environment. They are typically long lasting and can smell very delicious, appealing, or whatever they were formulated for. The molecules of the fragrance oils are larger and tend not to evaporate as readily. If your only concern is sprucing up the environment for your olfactory nerve then fragrance oils are the route you most likely want to take as they last longer, come in hundreds and thousands of scents, and they typically are considerably less expensive.
The latter, on the other hand have many other uses and are created entirely different. They do not use synthetic ingredients. They are the essence of the plant they are obtained from. Typically they are steam distilled, although most of the citrus ones are cold pressed. There are other methods to achieve the essential oils from the plants but those are the most common.