The price. It's not about the phone, it certainly performes very well, it's about the hardware components that are pretty old and should therefore be cheaper.
The hardware components are not that old to begin with. Sure its 1 years old in tech life (which is an eternity) but the successor (which is more like a stopgap) SoC is actually just an overclocked version of it. Theres barely anything different between the snapdragon 800 and 801 other than clockspeed. The true sort of successor is the 805 and its just starting to make its way to a handful of units. Someone else put it nicely, the 801 exists just so that no one will get bored of the snapdragon before the 805 since there is pretty much nothing between the 800 release and the 805 release. The hardware seems to be moving at a 6month cycle (much like graphics cards did on the PC) and that makes for very rapid obsoletion. Your handset will be outdated as soon as you purchase it. Besides the 800 series is no slouch, the best thing about high end chipsets is that they'll be easily capable of handling things for a couple years before they'd be considered slow.
In terms of pricing, it should be lower. All flagships pretty much cost the same anyway so a high price is expected and im not expecting Nexus 5 pricing (which is the lowest of all the android flagships, it undercuts everything). But the Lumia is missing features and gimmicks that the android competition has. It should be price aligned with the predecessors to the current android flagships (which seems to cost about 100-150 dollars more). It would also make it more attractive, outside of some areas it seems to cost MORE than the current android flagships....
Weight: You guys who have your thin androids with cases...you should measure how much it weighs with those cases on. The handsets themselves may be featherweights but a case adds a fair bit of heft ad thickness to it.....If the 930 is uncomfortable to hold, its probably more for the shape without a case than it is for the heft. My dad has a Galaxy S4, he put a case on it so its a little thicker (its still pretty light). My sister has a Nexus 5, she put a case on it. My friend has an HTC One M7 (last years)....he put a case on it. It was already a bit more heavy than the others cuz its made of metal. But its also much thicker now cuz of the case. My GF has an iPhone 5, it just feels damn small, she has a case on it. I never put a case on my 710. I had a case on my optimus 7 long ago but took it off when it started acting up and I never put it back on (it was actually too thick with it on). With the case, your hands are gripping rubber and now you're not feeling the phone but the softness of the rubber which could be more comfortable cuz its softer.
Also I must add, a lot of perceived thickness and comfort comes from the edges of the device and how it is shaped. I have a Lumia 710. I think its thicker than everything mentioned in this thread (its like 12mm thick ) but it doesn't feel that way because all that thickness comes at the middle of the back of the devices, and it tapers towards the edges (the edges themselves are like 5mm). The Lumia 930 is pretty much a rectangular slab much like the iPhone with 'sharp' edges. The HTC One is similar but thinner. Xperia and galaxy and I think the LG has rounded edges.
In any case, I bought myself a 930. Its pretty much the phone I wanted last year (a 1020 with snapdragon 800) but minus the 41mpx camera lol. Whats coming up on the WP pipeline is a mystery and I really didn't want to keep waiting. You keep waiting you're never going to get what you want because you'll always wait for the next best thing that is just going to be outdated in 6 months anyways.