I think Sai Kung is more expensive because the area is just of a higher level of quality, less trucks using the roads, more expats so generally the community is more, dare I say "educated", people are more relaxed but not ignorant. Much less involvement of "triad society" as in Yuen Long which is a fact. Not so many used car yards, the air/land is Sai Kung just seems/feels cleaner and not so dusty, it's not just the views but the general surroundings and also there is the commute. If you take the west rail then fine, its about 30 mins to central but it takes bloody ages to drive into Kowloon or HK island not mentioning the petrol costs.
I've also lived in the Sha Tin area also and I can say the village house rents are also considerably cheaper than SK but also has some of the cons of YL I feel.
In my personal opinion, I would choose, SK then Taipo/Shatin and then Yuen Long.