i've seen perfectly safe helmets sell for as little as $5 ... most of the very expensive ones are not any safer ... they're expensive because of appearance, weight or aerodynamic design ... just make sure it has the proper safety certification on the label ... and make sure you know exactly how to wear the helmet ... i see all kinds of cyclists riding around like they're wearing an Easter bonnet ... the helmet should sit about 1/2 inch above your eyebrows in the front ... and the straps should be almost uncomfortably tight ... you should only be able to slip one (or two at the most) fingers between the strap and your chin ... serious impacts will try to push the helmet right off your head ... if you try to push your helmet further back on your head with the straps tightened, the helmet shouldn't expose more of your forehead ... if it does, you're at risk ... btw, once a helmet suffers an impact, get rid of it ... even if there is no visible damage, the styrofoam gets compressed and will not provide the necessary protection ...
make sure the label says it meets the "CPSC" (Consumer Product Safety Commission) standard ... this standard went into effect in 1999 and i believe (not sure?) it is still the current standard.
here's a detailed description:
http://www.cpsc.gov/businfo/regsumbicyclehelmets.pdfon edit - here's an excellent article i found on bike helmets:
http://www.consumersearch.com/www/sports_and_leisure/bicycle_helmets/fullstory.html