I don't know who is telling you you won't have to pay money to show your film, at a festival or elsewhere, but that is untrue. I would venture to say these are people who have little experience in entering film festivals. If you screen it yourself, you have to have a display device, format source, and sound system as well as a venue. That costs money. If you show it at a film festival, believe me it costs the film festival 100-1000x more to put on their event and show your film than you will pay for an entry fee. Its actually quite a bargain if you have a good film that stands a chance of getting into a lot of festivals.
You are paying for a festival's time to watch and decide to not accept or accept your film. There are always far more films not accepted than accepted and every filmmaker is betting that their film is good enough to get in.
If your film is not accepted, the festival will also take the time (usually) to inform you of that.
If your film is accepted, your fee pays for judging, shipping, promoting your film, and then, marketing your film via web, print, press, radio and/or TV so that people will come and watch your film. Many festivals will also feature awards, trophies, audience award balloting, grants, prizes, etc. You will receive tickets to the event, and usually a festival/VIP pass. You will usually be asked to do a Q&A session for your film, and someone must moderate that, and mic you up for it. You will likely have access to catering, receive goody bag(s), photos, videos, interviews, press, etc.
Some of the larger festivals will offer to put you up for the event, and possibly fly you there.
In the end, if accepted, you receive FAR more in monetary value at even the most meager festival than the entry fee of $15-$65, if your film is accepted. If it is not, then you are simply paying for someone's time to screen and notify you it is not acceptable, which consists of verifying information, "checking-in" a film, making notes, and creating the notification.
While we all wish moviemaking was a free endeavor, and that once we completed our masterpiece the world would beat a path to our door, the truth is that everything costs something and there are many, many movies floating around on the circuit right now, and you should reserve a sizable portion of your budget for marketing purposes following the film production.
The only way around this is to request a fee waiver, but due to the abuse of the fee waiver systems, many festivals simply don't grant them anymore. At Lakedance, we specify right on our website that we don't accept fee waivers and we have received more requests for fee waivers than entries this year (vs only about 10 fee waiver requests in 2006).
That said, if you become a premiere member of indietalk.com you will be able to enter your film for free into our film festival, Lakedance, this year - lakedance.com .