"BF" you can use regular mono line on a fly reel ..
but it defeats the purpose of what a fly rod's built to do. (The non-teck term for mono line on a fly rod is "chuck and duck.") It's the weight of the fly line that loads the rod, which casts the line/leader/fly.
Why is leader material so expensive? Beats me! This is why a lot of us use regular mono line to build our tippets and just use a short run of regular leader material for the last length to the fly. Only advantage to doing this is leader material is usually smaller in diameter than regular mono line ... and far softer. Which has it's advantages and disadvantages when you're building a leader from 'scratch.' Leaders are usually made from stiffer materials than tippet mono. Largest size off the end of the fly line, then tapering down to the 'tippet' to which you attach the fly. Idea of the 'step-down' is this promotes the transmition of energy from the fly line, "turn-over" of the fly and laying out of the leader beyond the fly line.
As to info on steel leaders you'll find a series of posts on this very subject from just last week (actually two individual threads?). Lots of info for you there on new materials available, brands, etc.
The above is pretty simplified, but I think you'll get the gist.