Why are DC SSR's (solid state relays) so expensive?

I understand the small ones are affordable (<=3A load) but for larger ones in the 30A-40A range, they are quite expensive, even in volume.

For a hypothetical 20A DC load (automotive application), using a PWM signal at about 25kHz, are there more cost-effective options than a $70 SSR? This is something that will be produced in volume, not a one-off.

What kind of trouble would a bank of parallel MOSFET's with a good heatsink get in to with this kind of load?

SSRs tend be be expensive because they have an isolated input from the output. If you don't need isolation, then you can just use a MOSFET (you can find one MOSFET rated at 40-50A to handle the 20A load) for you application. You will, of course, need an adequate driver to rapidly charge and discharge the large gate capacitance of such a large MOSFET at 25kHz to avoid overheating the MOSFET.

You would need a different solution anyway, since most SSRs are fairly slow and cannot handle a 25kHz switching frequency.