A $30 helmet from a reputable LBS protects your head as good as a $200 helmet. Comfort can be another matter though.
The biggest danger with helmets is wearing one that is too old. The plastic breaks down over time, especially with exposure to UV rays.
The plastic become brittle and will shatter easily. My LBS recommends using a helmet for five years max, and it's not a sales ploy.
They routinely steer people towards more budget-friendly models as opposed to flashy, expensive models.
Try on a few, decide which fits & feels the best, and go from there.