Pardon the pun but this is an arms race and the defenders are going to lose. There are broadly five classes of missiles (one isn't a missile per se):
1. Ballistic. These are traditional rockets, basically. While rockets are designed to reach orbit or leave the Earth, a ballistic missile basically goes straight up and comes down. The higher it goes, the further away it can get because of the ballistic trajectory and the rotation of the Earth.
Ballistic missiles are most vulnerable in the boost phase ie when they're just launched. Since you have little to no warning of that, that's not really helpful.
But one weakness of ballistic missiles is you pretty much know the target within a fairly narrow range as soon as they launch. That's the point of early-warning radar: to determine if a launch is a threat so defenses can be prepared.
Attackers can confuse or defeat defenses in multiple ways such as making small course corrections on approach, splitting into multiple warheads, using decoys for some of these warheads, deploying anti-radar or anti-heat seeking defenses at key points and breaking into many small munitions, sometimes called cluster munitions on the news but traditionally that's not what a cluster bomb is or was. In more sophisticated launch vehicles, the multiple warheads can be independently targeted. These are called MIRVs (multiple independently targetable reentry vehicles).
Economicallky, depending on range and capability, a ballistic missile might cost anywhere from $100k+ to $10M+.
2. Rockets. Militarily this is different to a rocket in a civilian context. It's not much different to a hobby rocket, actually. Often these are "dumb" but some have sensors and guidance capability or might be heat-seeking.
These tend to be incredibly cheap to produce and not terribly accurate but that's not really the point. The point is they're cheap and easy to produce and the interceptors are much more expensive.
3. Cruise missiles. Rather than a ballistic trajectory, these have more sophisticated guidance and travel much closer to the ground, usually to avoid radar. The Tomahawk missile is a prime example of this. These tend to be relatively expensive and much slower than ballistic missiles.
4. Hypersonic missiles. This is a relatively new invention that's kind of like a cruise-ballistic hybrid. It flies in the atmosphere for part or all of the time and, unlike cruise missiles, will fly faster than the speed of sound, usually significantly so (eg Mach 4-10). Such high speed makes interception near-impossible currently.
The big advantage of a hypersonic missile is that it has the speed of a ballistic missiles without the predictability of the target area. Plus it can be retargeted in-flight.
5. Drones (honorable mention). Not technically a missile but they fit in this space regardless. This is basically a scaled up commercial drone with an explosive payload. These are significantly slower than cruise missiles or rockets but can be live-targeted, re-targeted and have a variety of types ranging from dropping hand grenades from a height (eg as has happened in Ukraine) to suicide-type drones that explode on impact.
Drones are typically so slow that you could shoot them down with an shotgun in some cases. But they're incredibly cheap and easy to produce.