Teleporting, i.e. apparition, is not harmless and free. It can be quite complex. However, the books reveal this in much more detail than the films.
As remarked in The Goblet of Fire:
Harry knew Apparating meant disappearing from one place and
reappearing almost instantly in an another, but he had never known any
Hogwarts student to do it, and understood that it was very difficult."
This was shortly followed by this exchange:
“You have to pass a test to Apparate?” Harry asked.
“Oh yes,” said Mr. Weasley, tucking the tickets safely into the back
pocket of his jeans. “The Department of Magical Transportation had to
fine a couple of people the other day for Apparating without a
license. It's not easy, Apparition, and when it's not done property it
can lead to nasty complications. This pair I'm talking about went and
Everyone around the table except Harry winced.
“Er—splinched?” said Harry.
“They left half of themselves behind,” said Mr. Weasley, now spooning
large amounts of treacle onto his porridge. “So, of course, they were
stuck. Couldn't move either way. Had to wait for the Accidental Magic
Reversal Squad to sort them out. Meant a fair old bit of paperwork, I
can tell you, what with the Muggles who spotted the body parts they'd
Harry had a sudden vision of a pair of legs and an eyeball lying
abandoned on the pavement of Privet Drive.
“Were they okay?” he asked, startled.
“Oh yes,” said Mr. Weasley matter-of-factly. “But they got a heavy
fine, and I don't think they'll be trying it again in a hurry. You
don't mess around with Apparition. There are plenty of adult wizards
who don't bother with it. Prefer brooms—slower, but safer.”
As the highlighted sections show, some wizards simply prefer a slower, safer method of travel, hence broomsticks or walking.
Finally, as the Pottermore website remarks:
No shortage of Floo powder has ever been reported, nor does anybody
know anyone who makes it. Its price has remained constant for one
hundred years: two Sickles a scoop. Every wizard household carries a
stock of Floo powder, usually conveniently located in a box or vase on
So there are plenty of other, safer transport methods than just teleporting.
In my view, the most likely reason the film shows so much apparition it allows quick transitions from one place to another and is very "magicky", involving disappearing in one place and appearing somewhere else - much cooler than showing someone on a broomstick covering the same distance.