Not all SD cards are equal. There are four different types - SDSC, SDHD, SDXC and SDIO - and three form factors.
You must use the type that your camera specifies.
It's worth spending more because the higher priced, branded cards come with a lifetime guarantee. Cheaper ones might only have a one year guarantee and you just know that you will have massive data corruption the day after the guarantee runs out.
Have a look at this: http://en.wikipedia.org/wiki/Secure_Digital