A breakout board is a printed circuit board (PCB) that has only one or two parts on it, plus easy contact points for using the parts. Lots of sensors don't easily fit into breadboards or Arduino pins, so having the sensor pre-soldered onto something that does fit nicely is a big convenience.
SparkFun is pretty reasonable about most things, but I agree, it seems expensive to pay so much extra for a tiny chunk of PCB. Most people who get the breakout boards only need them for a prototype project; once you're designing your own boards, you don't need the breakouts anymore.