Basically, if you need to know or build something, you will probably need to research it first. In other words, researching is a way of making things available to you.
Why do we need to research?
This game is as real as it gets. If you have a company, you need to study and research your next move. If you could build anything you wanted, there wouldn't be any challenge, would there?
Is there another way to build without researching?
Unfortunately, there is not. There are few things you can build right away, without research, but not enough for you to be successful.
Why does it cost so much?
IFEL didn't give you a hundred million dollars for nothing. You're not going to find anything for free. That's life!
After I research everything, will I be able to build anything I want?
No. You might notice while playing the game that some buildings have certain prerequisites, meaning that you need to be at a certain level to be able to build or even research. Therefore, unless you are at the highest level possible, you may not have access to build everything.