The web isn't free. It costs money to make it work, although this cost is spread over various companies etc that run the web servers that serve web pages to the masses.
We buy a domain name so that we own it for a certain amount of time, and we pay the company who we register it with to host it on their name servers. If the domain name isn't on a name server then no one will be able to reach your website. If these companies gave the domain names away for free, how could they afford to run their name servers?
But, this doesn't mean you should go paying over the odds for a domain name. Nominet (the UK registrar agency) charges it's members £5 for a .co.uk. I've worked for a company before (before I knew any better I might add) who would charge customers £25 for a .co.uk. Places like 123-reg.co.uk offer reasonable prices for domains.
The web, unfortunately, mirrors real life. Nothing is free, everything that makes it work costs a certain amount of money to run.