Would you ask?

For instance - why does she need to know how much my pension is?

You don’t have to answer that. Does she work for HMRC??
Just say, “I’m sorry, I’m not going to answer that.”
If you manage to look suitably annoyed at the same time, she may get the message!

That would be invasive Willow and I wouldn't answer.
However, I have a friend who has volunteered that information to me and so has her DH. It may be that she would be happy to tell you all those things about her. I would bluff in some way or make a flippant remark. Shame to spoil a friendship.

I understand if someone says they need something and are genuinly needed to find out prices. I'm quite happy to pass on the information in that case. But I've learned over the years that is not the case with my neighbour - it's just because she is plain nosey! For instance - why does she need to know how much my pension is? I can just never think of a polite response other than mind your own business!

Maybe she needs some work done but doesn't have a clue what anything costs, it's not something you know until you ask. I needed work done on my roof a couple of years ago and didn't have any idea what it would cost. I rang a roofer and he came along and gave me a quote which I accepted and the job was done. I was shocked at the price, it was much lower than expected. If it was higher then yeah I would have got a few more quotes and would have came up with whatever was needed but not everyone can. I don't care what anyone asks me, I assume they have a reason for asking.

I had a friend like that and if I told her she would look horrified and make me feel guilty.
So in the end I either lied or said 'not telling.'
She was a good friend in other ways.

I imagine it is as much the way she asks as what she asks. For example, I might ask a neighbour who they used to service their boiler and how much it cost. Nothing wrong with that but I would never ask how much they paid for a dress, car etc. I think I'm trying to say that there is nothing wrong with asking about a useful service but not about anything personal. Some people volunteer information when you pay them a compliment about things.

Some people are like that Willow.
It annoys me too.

The best way to respond is to say that you differentiate between price and value for money, ie you may pay less for something, but the thing you pay more for may be better value, long term.
Refer to people who shop on price in a disdainful tone.
If you really want to shut her up, quote John Ruskin:
There is hardly anything in the world that some man cannot make a little worse and sell a little cheaper, and the people who consider price only are this man's lawful prey.