Housing is more expensive on average, but only because houses have gotten much larger (the average new house was ~1000 sqft in 1920 and ~2600 sqft today), and are more likely to be in urban areas where land is scarce (20% urban in 1860 to 80% urban today). Of course modern housing is built to a much higher standard as well -- in Thoreau's time, the average home would not have had indoor plumbing or electricity.
You can absolutely find cheap housing if you're willing to live somewhere small in the middle of nowhere. But most people don't want to do that these days.
