You are right in saying it needs some server side software, this runs into multiple thousands of pounds to purchase hence why not many hosts do it.
Not sure about this. Last I looked, the CF8 Enterprise server for Linux was $1200 USD. You don't need any other server-side software to run it -- at least nothing proprietary. I'm cheerily running CentOS / Apache / MySQL / ColdFusion / PHP on my GlowHost server right now.

As an example with coldfusion hosting you would look at paying 10x more a month than you would with php or asp.
That's just silly. Lots of places offer a robust shared hosting package for $20/month or even less. In fact, I offer it for $20/month...

Also with php and asp you are more likely to find answers to any problems as more people use it.
This may or may not be true. But remember, CF is produced by one of the largest software companies in the world (Adobe), so you can actually get support from paid professionals. And the community is pretty big and active, I've found. (It's funny that I'm saying this, because I typically find ALL software circles to be decidedly unhelpful when you need them most.)

The biggest difference with CF is that its originators and subsequent producers have had a mandate to make it easy to learn and rapid to code in -- in other words, there's a REASON some of us pay the $1200 for a license instead of struggling with PHP. Otherwise, CF wouldn't be on its 12th major release (it used to cost $4500/license -- something like 10,000 licenses were sold at that price).