For compare to Microsoft, all you need is a copy of windows server license to get web stuff which might cost only couple hundred dollars. Of course if you develop in Linux, the license cost is zero.
if you are talking about j2EE application servers, there are free ones, like tomcat, jboss, etc.
It is interesting that we developed in orion server and jboss and it always end up that all customers is paying for orion server instead of the jboss one.