I say "have more stuff", and you say "duh". But there's a deeper concept here, and one that you'll see players like White-Ra use, that will also work surprisingly well in the custom scenarios such as Desert Strike.
Concept #1: Ability to absorb damage.
Generally, and with exceptions, lots of small units have more hit points than single large units, cost for cost. Low-tier units cost less gas, and are faster to replace than higher-tier units. Therefore, if you have more of them, your opponent has to deal more damage to you to destroy your army.
Concept #2: The meat-shield
Yes, I said it. And yes, I'm implying it. Those zealots really just are pieces of meat, ready to be shredded, that get in the way of the enemy destroying your heavy damage-dealing, important units like Colossi and Immortals. Or Siege tanks. Or Hydralisks. Every race has a meat shield unit: Marauders for Terran, Zealots for Protoss, and Roaches for Zerg. Protoss have Force-Fields through their Sentries, which also act as barriers behind which their big units can shoot.
So... try it sometime - build more cheap units that have good damage absorption, and you'll notice that you don't have to waste as much money on the fragile, expensive units, because they'll stay alive longer to do their massive damage.