A cheap one isn't multicoated and will have flare problems (as well as allowing less light to go through). The super exensive thin one is useful with wide angle if that lens has a problem with vignetting (try putting a normal width filter on there and see if it shadows on the edges). My recommendation would be to get a mid-level polarizer (Hoya HMC for example) as it's got nice coating but isn't super thin (super thin ones don't have inner threads so no threaded lens caps).