I'm the same with tea. Cheap tea is awful, good tea is amazing. Unfortunately expensive ≠ good. Thankfully I've found a good supplier, for a reasonable price (for the quality).
Similarly, £1's worth of really great chocolate is usually more satisfying than £1's worth of cheap rubbish even though the actual quantities are vastly different.
Roasting coffee is a great hobby and has an incredibly fast ROI if you start with the popcorn maker method. I get best in class beans for less than half their roasted cost.