The colour and flavour variation of sesame oils is due to a number of production methods. The dark flavoursome and more expensive oil is made from roasted sesame seeds. The oil may be yielded by cold or hot press methods.
The most neutral sesame oil is from a cold pressed process and appears as a very pale straw colored oil. It is most likely to be the cheapest sesame oil to buy

Sesame seeds are considered fragile and shatter quite easily. For this reason there is a lot of inadvertent loss which is part of the reason for the higher costs of sesame oil compared to other plant oils. This is not the only reason as it also depends on production and production is less than the first level demand. It's the eternal supply and demand economy.

Sesame oil is considered for many of its effects as a healthy or even a therapeutic oil. For instance clinical trials on volunteers with hypertension on diuretics showed improvements based on various measured markers including lipid profiles, ant-oxidant activity, weight loss and blood pressure reduction, blood sodium and potassium levels. All these measurements improved statistically valid during a 45 day substitution of any other used oils with only sesame oil. The oil used was a commonly available commercial cooking oil.

Dark sesame oil has a decided and strong flavour probably not palatable as a single oil for general culinary use. As a flavourant it is used to enhance aspects. The light oil is used more generally with its significantly lower "flavour" characteristic. Sesame oil is  not used widely as a deep frying oil because of costs and the relative low expense of other plant oils. It is ideal as a deep frying oil though becuase of its high smoke point and resistance to oxidation. There are parts of the mediterranean countries where sesame oil is used as extensively as Olive Oil including its use as a frying oil. It is also used widely in margarine production and other non-culinary industrial uses such as in the paint industry, lubricants, cosmetics and soaps. It has been used extensively in Ayurdevic medicine products for centuries. In India it's commonly used as a massage oil.

For the cook it's always good to have a small bottle of dark sesame oil as a flavourant and a larger bottle of light oil. The two can be mixed to enhance flavour beyond the light oils natural level. Dark oil can be a bit of search but I would think that an Oriental Grocer would be your first port of call. Online suppliers are always a great resource

Sesame oil has been known for a long time to be resistant to rancidity which is another practical benefit of having some stored in your cupboard for short order use. Sesame oil flavour with noodles and pasta is a great experience and can easily be experimented with for salad dressings. It seems to go very well with fish sauce, vinegar/lime juice and white pepper for SEA dressings especially for barbecued meats as a marinade.