What's beyond the paint?
It's frame material, geometry, components, soul.
Does the $500 bike "feel" different than the $5000 bike? Maybe. Can you feel the difference? Maybe. DH has a $4000 bike and a $1100 one. He says they feel really similar. Do they "feel" different than the pro teams' $9000 bikes? Maybe, but not to us.
At some point, there's a real diminishing return on bike costs. But between the $500 level and the $2500 level, you can really gain a lot in weight, handling, comfort, stiffness - whatever you are looking for.
You have to supply the soul, though.