The electronics are the most important part of the auto shield, thats where a lot of the cost is associated.
As for shopping around and trying to decide which one to buy....... Check the inside of the shield for ANSI Z87, EN 379, CSS, CE ratings. These are a minimum standard for eye safety equipment. Do your homework on the ratings. I have noticed that some of the dirt cheap auto shields do not have ratings marked, which scares me. These shields start at very basic, pre-set autodarkening (you strike you arc and they darken to a set level, no adjustment available). As the prices increase, so does the functionality. With adjustment controls for darkness level, sensitivity and delay.
I have a middle of the road shield that has all of the adjustment above which can be useful depending on your working environment, lighting conditions and the type of welding that you do, (arc, mig or tig).
I dont give in to paying for a name. Sure, Miller and some of the others have sexy looking shields with flame jobs etc to entice the "American Chopper" fans.
Get some advice from a welding supplier and take my advice and the advice of the other guys above. DON'T buy the cheapest. You only got 2 eyes, once they're damaged, they're real hard to fix afterwards.