akirarex,
you're totally right that a 3-way set is a substantial step-up in price over a 2-way set. and when i switched from coaxes to components (and back) i definitely noticed differences in clarity and overall sound quality. the reasons for this, i believe, are numerous (most of which, however, have to do with the inherent qualities of components being...well, component)
first, it's no surpise that manufacturers use higher quality materials and manufacturing processes for their component speaker sets, which are typically positioned higher up the product line than the coaxial sets.
second, it's all about the crossover network. coaxial speakers typically have nothing more than a few capacitors, whereas in any decent-quality component set, you'll have at least an 18db/oct slope.
third (and this one does, actually, have to do with the component-ness of component speakers), the speaker placement in most cars isn't exactly optimal for creating a good listening environment. thus, being able to place the tweeters higher up is usually beneficial.
however, that contradicts one of the basic principles of acoustics--a single pointsource is always best.
a good compromise? something like a high quality set of coaxials (with a separate crossover) is a great choice. something like image dynamics chameleons, perhaps. uh oh, class is starting. haha. time to finish this post.
peace