It is psychological. For the average "investor", the thought of buying 25 shares of a stock at $400 per share is perceived to be different than paying $10 per share for 1000 shares. $10,000 is $10,000 - no matter how you slice it, but people have a different view of a stock once it is over a certain price point, which is why companies split their stocks. Also, in the old days you would pay a more expensive commission for buying an odd lot.
if you're looking for a broker, try www.ameritrade.com i've been with them for years ever since they took over datek and i've been extremely pleased. of course, you may want to learn a bit about investing first before you take the plunge. i'd check out www.fool.com as a good resource.