To me expensive products don't necessarily work better, but sometimes they have better ingredients. I'm trying to transition from products with a lot of synthetic ingredients to products with more natural ingredients. This typically means they end up costing more.
When I first went natural a few years ago, I was loyal to one brand and pretty much only used those products. I found a good shampoo with them and just felt like all their products were good (even if they were doing nothing for my hair). This go around I'm paying more attention to what my hair likes and I'm just using what works for my hair.