Hierarchical Table Functions Vs Hierarchical CTE

Recently I was in need of a hierarchical tree data. I learned about CTE and how they can be used to build hierarchical data with simple syntax. I used CTE and was through with the task. Later during free time, I tried to compare CTE approach with the traditional SQL 2K Table Function approach. It was surprising to see the query costs when I ran both the modes at one go...

Query Cost (relative to batch) : 0.49%
Query Text : Select * From fn_GetTree(8);

Query Cost (relative to batch) : 99.51%
Query Text : with treedata (id, parentid, status, prevStatus, lvl) as (select ...)


What does that indicate? Does it mean that the Table Function approach is much faster than CTE? I am sure that I was not making unwanted Joins in the CTE mode.

Can someone explain why that huge difference is there? And what the scenarios where CTE is better over Table Functions?