The reason why these little darlings are so expensive, dear wharfinger, is because they come from inside a pine cone, which must be heated to facilitate removal, often by hand, a labour intensive process.
Pignoli are also known as piñon, pignolia, and, of course, pine nuts. There are several varieties of pine trees which yield pignoli; they grow in China, Italy, Mexico, North Africa, and the southwestern United States. There are two main varieties; the Italian variety has a more delicate flavour and is thus more costly; the Chinese is cheaper and stronger flavoured. You'll probably find the latter only in Asian supermarkets.
Like most nuts, pignoli have a high fat content (they are actually higher in fat than most), and so will turn rancid quite quickly. Store them in the fridge in a tightly sealed container for up to 3 months or in the freezer for 9. Also like most nuts, light toasting will enhance their flavour; use wharfinger's method above, or put them in a small, dry, non-stick frying pan and toast them over medium heat, shaking the pan frequently to prevent burning.
Toss them on anything. They are also the classic nut in pesto. Tasty.