I like No Nonsense "Silk Indulgence" and L'eggs "Silken Mist." (I admit that these are the only styles I've tried.) They cost $4/pair where I buy them (Rite-Aid, hehehe), are comfortable, and seem to last pretty well.
I only wear them under pants, because I don't shave my legs. They still feel good and keep me warm when it's cold out.