There is professional school (med school, law school, business school) and there are PhD programs. The former do cost quite a bit in the US, but Ph.D programs in the US (at least in the sciences) don't cost anything if you get in and in fact pay you a salary (I have a doctorate in microbiology and that's how it was for me and everybody I know). That being said, this generosity has a dark side -- there are considerably more Ph.Ds produced than can have jobs in scientific research and that's because grad students are a source of cheap labor for professors.