The price is much higher than (what) I was told (you can drop "it was") The price is much higher than (what) I have been told (you can drop "it is") The price is much higher than (what) I thought it would be. ("Never" doesn't quite work here)

For me, the first two are fine. I would change the last one to: The price is much higher than (what) I ever thought it would be.

For the most part they sound natural, but to me you leave out a couple words. The price is much higher than (what) I'd thought it would be. The price is much higher than what I have been told. (or was told) That's just how someone would say it here in Ohio. ^^ Hope that helps.

万分感谢，受益匪浅：）

Yes! You got it, Lao Kou (and Muchi). It's true that you can say "I never even considered that the price could be so high." However, when you use "never" in "than I never thought it would," it just feels wrong. It is probably a property of the comparative construction. "This is the tallest building I ever visited." "This is the fastest plane I have ever ridden." "This is the most money I ever made." If you change all the the "ever's" to "never's" in these comparative constructions, than you *never* rode the plane, never visited the building, and never made that much money... So you can't use "never" in "than I ever thought it would." I hope this answers your question, Natalie! Sorry it took four brains to put this together for you.