Its very difficult to talk about the technology and workings behind a laser without crashing quickly into techno babble that's utterly meaningless to anyone that isn't a scientist, so we shall side step the actual ‘how it's made’ completely and just marvel at its wonder.
Lasers have been used professionally for music and show productions since the 70s, with bands such as Pink Floyd and ELO using them to great effect in live shows to create custom objects and patterns that covered large areas. These shows became more elaborate and the laser units became more and more powerful until legislation in the USA made their usage near or above a live audience illegal for safety reasons as they had gotten out of hand. Skipping forward 30ish years and advances in the technology, manufacturing, and safety awareness have allowed these wonderful devices to be on sale to the general public, requiring no special licenses or training.
Laser light is extremely useful in entertainment as the nature of how the units work allows a focussed narrow beam to be produced, unlike any other lighting source. This allows the use of optical scanning to produce images or patterns which can be visualised on floors, wall and ceilings, or mid-air through the use of smoke or fog effects. Unlike other projected light systems, distance has no effect on the light spread or coherence of a laser's output, which allows it to produce perfectly straight beams across open spaces, or be directionally altered at any point with the use of mirrors. This is used to great effect in nightclubs where a single laser unit will fire at a rear wall mirror and off to several other mirrors around the room, creating an airborne web effect amongst its many patterns. They are totally unique in this ability to be redirected and retain power and focus.
Lasers for entertainment use will employ various techniques in their output to give you their effects and shows. The standard way is use of motor controlled mirrors or prisms which in turn with varying voltage and pulsing gives a multiple beam output or scan. This can also be focussed into a planar or conical shape to create a tunnel effect. Part of any laser units main spectacle is its ability to sweep scan in both horizontal and vertical planes with a perfectly flat spread of light, giving you that moving wall or knife through the air effect when combined with smoke. Simpler lasers, or lower cost units will generally be a single colour, either green or red being the standard diode colours, with wattage output being fairly low at around 50mw - 100mw. This is plenty for a casual use effect for a Dj or band, or for fun use at home, and will often have sound to light to make setup and placement as easy as can be.
A blue diode system, which cost more to produce, can be had in solo form from 150mw, and also be included in units alongside both red and green in an RGB configuration. Just a few years ago, a full colour RGB system would have been several thousand pounds, but this amazing colour mixing is now on midrange and even ‘budget’ units, offering a full colour show from a single source and immediately changing what's achievable for a mobile performer.
Probably more so than any other device, the unit cost for laser systems is directly in relation to the power rating and capabilities of the unit, and looking through any catalogue or stock list will show you a clear progression of price versus performance, so it really comes down to what you want the system to give you. Larger more professional oriented systems will often feature much higher grade diodes and servos, allowing much faster response times and much higher tolerances for line definition and shape creation, including the display of multicoloured moving images or graphics which can be programmed onboard or transferred from pc editing software using industry standard ILDA transfer ports.
These pro systems will also allow DMX triggering of set shows and scenes, or full manual control, with power levels going from 500mw up to as high as 3000mw on the very top end consumer based models, which is a truly immense amount of output suitable for large theatre and stage usage.
Used safely and with careful placement and planning, a laser system can provide you with a truly amazing experience that simply isn't possible from any other lighting device.