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The reason why the death penalty is more expensive is that

1) the appeals process takes up a lot of money. you have to wrangle up the judge and lawyers and stuff. Whenever lawyers are involved, a lot of money is spent

2) faciliities for killing people. It's usually performed in a very sanitary environment where a doctor has to make sure the inmate dies.

This usually isn't the case in other countries (like china) where they just shoot you like two weeks after the verdict.

but the same questions still come up. What if someone like Saddam managed to escape? Or what about some crazy psycho mass murderer?

Its just a really messy question and there isn't really a clean solution either way. I like to consider the burden on tax payers and I would do whatever burdens the citizens the least.