It depends on the item. I have noticed that for clothes, women's clothing can actually be cheaper, but you tend to "need" more of them. Panties are ALOT cheaper than equivalent (basic cotton panties vs. tighty whities) mens' underwear, but Bras add significantly to the cost [especially if your band size (> 38) and cup size (< B Cup, > D Cup) don't fit into the small range offered by cheap bras]. Men's jeans seem to be slightly cheaper, but I have run across women's jeans that are as cheap or cheaper than men's. Dresses vary wildly. The nice ones are going to be expensive, but so would a nice suit. But, a cheap dress will definitely run less than a cheap pair of pants and a shirt and probably look alot nicer.
Makeup is definitely a major expense. I do most of my makeup shopping at Sephora which can get expensive quick. There are cheap cosmetics, but you got what you paid for. For hair, I'm probably saving as I'm trying to grow my hair long. I used to only go to get it shortened. Some expenses that definitely add up - Mani-Pedis, Waxing / Hair Removal, etc...
One thing that I did notice positive for a woman is when visiting a tourist area. If you need clothes, you will pay ALOT less and have way more options than a man. One place I visited while I was living as a man...I ran out of clean shirts. The only shirts sold in the shops screamed TOURIST and were about $20-30/each. But, they had some very cute sundresses for alot cheaper and without the stupid logos that scream "I'm a Tourist". In town, you could find sundresses for far less than the cost a single pair of basic jeans. Just make sure you don't have to buy a Bikini in the tourist area.
[Edit] One thing that might also contribute to the higher cost is upfront costs. As a man you had a full wardrobe already and only needed to buy new clothes as you grew out of the old ones or they started falling apart. Now that you are transitioning you have to buy more clothes. The cost of clothes should wane over time as you build a complete wardrobe as should costs for stuff like hair removal.