Why is copper used? Isn't that expensive?
You are presumably referring to experiments like NASA's Deep Impact mission that fired a copper impactor at a comet to study its composition.
If so there is a nice explanation of why copper was chosen on the Copper Development Association website. In brief copper has the right combination of hardness and relative unreactivity. As the web site explains:
But it was copper's molecular structure that made it ideally suited to gather data from the emissions that spewed forth from the comet after the collision. Because copper's atomic structure reacts slowly with other elements - particularly the oxygen found in cometary water - burning copper emissions did not obscure spectroscopic images taken during the crash. Other materials, such as aluminum, would have created distracting emissions and limited the effectiveness of the instrument used to monitor light reflecting from the comet.
There is more detail on the impactor design on NASA's web site though that makes only a passing reference to the non-reactivity of the copper.
Cost of material is rarely an issue on missions like these as other costs dominate, and in any case copper is a relatively cheap metal.