Memory cards are getting very cheap these days, so where in the past you could say you get what you pay for that isn't the case anymore.
Depending on your memory card format (SD, SDHC, Compact Flash, etc.) there are different things to look for. The bottom line is read and write speed. SDHC uses Class 2, 4, 6, 10 to designate the speed rating. Compact Flash uses 1X naming, so you could have a card that is listed as 133X.
You need to look past all that and find the read and write speed in terms of MB per second. The faster the better, although you only need to pay for the speed you need.
For example, HD video cameras will require a minimum speed, but don't really benefit from having a card significantly faster than the minimum. Digital cameras usually do benefit from getting the faster cards. Where a video camera records at an even pace, digital cameras want to record as fast as they can. Any slow down produces wait for you and limits when you can take the next picture.
No one brand is always better, but you are usually better off sticking to companies that make memory as their primary business such as Sandisk, Lexar, and Kingston.