In very dense areas they have to put in more cells, deal with the fact that there is a lot of metal around, multi-path propagation, more difficulties getting towers sited, etc.
In rural areas I think the cost has more to do with topography than anything else. In a mostly flat area that has an occasional mountain that's taller than anyone else, you can space towers far apart. In the Appalachian mountain region, however, you have a network of ridges that are all about the same height, so you'd need to run power and fiber to the tops of all the ridges - you might as well just run FTTH to all the homes, except you couldn't charge $10 a GB for FTTH.
Imagine if your cell phone required that you pay some outrageous roaming fee or get a special temporary pre-paid package if you drove out of NYC into NJ.
Edit: Typo.