Intuitively speaking, the reason you'd expect quantum computers to take so much space classically is that a quantum state is a weighting of each possible classical state. With $n$ bits you have $2^n$ possible classical states, so you need $2^n$ weighting factors to represent the state of $n$ qubits... unless you find a way to be clever about it.
One way you can be clever is knowing that you're only dealing with a simple subset of the possible quantum states. For example, if you know you're dealing with non-entangled states, then you can factor things into $n$ complex weights. More commonly, your quantum state may be the output of a stabilizer circuit, and thus efficiently computable classically.
Another way you can be clever is by working through the weights incrementally, so you don't have to store them all at the same time. This takes a lot longer, though. Basically you can lay out the full sequence of matrix multiplications, then iterate through all the paths that can be multiplied together to contribute to one of the weights. Once you have that final weight, flip an appropriately weighted coin over whether to return it or to go to the next weight.
That's right, despite intuitively involving exponentially more values, BQPSpace is equal to PSPace.