If you have never been diving, you should try it out. It might not be for you, but it might be the most amazing thing you have ever done. Breathing underwater is a real trip! The best way to see if this sport is for you is to take a Discover Scuba course. This half-day course combines classroom, shallow water skills, and finishes up with a real dive to 40 feet. Once you have completed this course, most dive centers allow you to continue to dive while you are there, but if you went to another center or came back to this one a year later, you would have to start over. This is why many people choose to get certified.
Diving organizations, like PADI or NAUI, govern the rules for who can dive and when. The reason it is more expensive for non-certified divers to dive is because someone who is certified dives with a dive master, but a non-certified diver must dive with a dive instructor. A dive instructor has many more hours of training and thus is paid a lot more, hence the extra cost.
A Discover Scuba course is the best way to find out if diving is for you. Before committing yourself to a more advanced course, make sure you like it!