Never know prices for the games to go down as such, but sometimes downloadable content starts as paid, and then goes free after a period of time, ala Lost Planet. Occassionally, there will be the odd reduced price or freebee for a limited time - Texas Hold'em was free for its first 48 hours on release, and for the first month or so, new content for Lumines was about half price I think.
It's a walled garden. I don't really think Microsoft have ever pretended that it's been anything different. That's the beauty of the system though - your games cost say 400 or 800 points regardless of where you are, but you can shop around for the best deals on points. There's the option to buy them at RRP on Live itself via your credit card, but like your Xbox Live Subscription, you can shop around for a cheaper price. I've had 2100 points cards for £14.95 delivered on eBay in the past (prices tend to go up and down, they're up at the moment unfortunately), which is a darn sight cheaper than the £17 it would cost for 2000 buying them through Live.
What irritates me more, is the fact that you cannot buy 400 points, or 800 points, or even 1200 points. You have to either buy 500, 1000 and so on, which means you've always going to have odd points left on your account (usually 750 points when you need 800 on Wednesdays!). This is even worse on the Wii, because the SNES & Megadrive games are usually 800 points, but there is nothing for 200 points, so you always have points left over that you can't use unless you buy another 4000 points and another 4 800 point games, or there abouts