The reason people pay more for the good stuff is higher purity, higher quality, less sugar or other undesirable additives, and honestly, better flavor.
Unless you're going somewhere that always overcharges (yeah GNC, I'm talking to you), you really do get what you pay for. The better product will get better results. It hurts the bank a bit more but your body will love you for it.
Your call though. If you want cheap, Costco. I prefer Popeyes though.
One of the trainers I knew used to recommend egg white powder. Very high in protein, and dirt cheap. Like, really, really cheap. Put it in a smoothie and youd never know the difference Don't know about quality though. I never used it.