Between the stations there are no difference. It's getting the stations down to meet the tunnels that is expensive.
I'm no engineer, but I doubt that is true.
- Twice the depth means that the tunnel has to support twice as much dirt above it. That means more concrete and building materials to support the weight
- The deeper the tunnel, the harder it is for air to reach those depths. That means bigger, more expensive tunnel ventilation systems, to get air to these depths. These systems make up a non-negligible cost of subway construction. In comparison, Toronto's older subways are shallow enough that they can naturally ventilate, without specialized machinery.
- Deep tunnels increase the costs of emergency exits
- Temperaure control
might be a concern so far underground. I recall that when the Russell Hill accident happened, the tunnel was dangerously hot for first responders, not because of fire, but because the tunnel trapped heat.
Average tunnel temperatures increase significantly as depth increases, however the difference between seasonal absolute highest and absolute lowest temperatures decrease. Depending on exact conditions, tunnels 20 metres deep might require temperature control, so people down there don't fall ill due to high temperatures.