the stuff from shimano usually has some grease injected into the housing, so that your cable gets a good rust proofing coating that can gum up if you're not paying attention to maintenance.

I haven't found cheap housing that has the grease injection, but it's no big deal, since you just have to give the cable a few drops of oil to keep it from rusting and to keep water out.

and yes, sometimes the cables do make a difference, but that's mainly due to the tighter bends required on some bikes.