Laptops run on a range of power. Some need 17V others want as much as 19V or more. For ever voltage there is a range of different amperage rating the different laptops need. I'm sure most laptops take 19V. But then you have to have different bricks for different amperage ratings. The more high end the laptop is the more amperage the brick has to offer. If you use a brick that has a higher amperage then what your laptop is rated for then you can burn up the battery and/or the laptop's main board.
Yes PSU stands for Power Supply Unit. That is what takes the power from the wall and converts it into the 3.3V, 5V, and 12V that a PC uses. As for a laptop they have only a single voltage running into them. Then there are circuits inside the unit that break the 12V-19V input down to the required voltages.
While there are sub $40 PSUs for desktops there is a reason for that low price. They are using low quality parts and the PSUs a generally poorly rated and not able to provide good clean power. Laptops tend to be more picky with the quality of power so using extremely cheap parts isn't an option. Also the PSU doesn't have to contend with traveling and overly adverse conditions. Where as the power brick fro a laptop but be able to sustain heavy shocks and extreme temps. There is a higher set of standards the bricks have to meat in order to survive the intended use of the laptop. If a PSU gets dropped off a table there is a good chance you have broken something on the inside killing the unit. If a power brick drops the worst that might happen would be the plastic cracking. Otherwise the brick should still function normally.
The weight of the brick is from all the components on the inside. Here is a shot of a much older power brick. As technology has advanced so has the power bricks. They have allot more crammed into them then that.
http://cache.gawker.com/assets...07/11/marvellpower.jpg
Most of the weight comes from that part in the middle called a transformer. Its responsible for taking the AC from the wall and converting it into DC. All the other parts are for maintain that DC voltage at a constant rate. Making sure it doesn't go out of spec. There are other parts in newer bricks that are there to protect the unit from a surge and to help maintain cleaner power.
If there was a better way to do it then no one has found it yet and the technology doesn't exist yet. The prosses for turning AC to DC hasn't changed since the days when the transformer was first invented. The circuits used to regulate and keep the transition as efficient as possible has changed over the years. But the thing will have some weight to it and the cost won't be going down any time soon. Mass production may be able to lower cost on some parts but not all. Most of the weight in there is from plain ordinary copper wire and the price of copper continues to rise. Not to mention the steel and magnets used in the transformer. Almost forgot the thick metal plates used as heat sinks in the brick.