DVD5 means single layer DVD, DVD9 is a double layer DVD. In addition, a DVD10 is a double sided DVD with on both sides a single layer, a DVD14 is a double sided DVD with a single layer on the one side and a double layer on the other, and a DVD18 is a double sided, double layer DVD.
As films are longer, more space is needed in order to achieve a generally good quality. Extra features also cost more space, so DVD producers then might choose to put the film + extras on a DVD9.
Your average home DVD burner can only burn single layer DVDs. DVD9 production requires more advanced equipment. Especially with illegal DVDs, this explains the difference in price. With legal DVDs there's usually no difference in pricing.