I've heard that most of the cheap ones (the kind that use conductive heating) aren't very good. You definitely want one with convective heating, such as those listed here.

http://www.vaporwarehouse.com/store/...p?p=index.html

I have a volcano, but I hear the vapor brothers and vapor warez are pretty good. The Aromazap supposedly works well but takes a very long time to heat up.
http://www.aromazap.com/index.php