I was recently mountain biking. I got flipped off of my bike probably going 25 mph, went head first into a stump. Entire front of my (faceless) helmet was smashed. My safety glasses got pushed into my nose digging a bit of a hole. I got a few scratches on my cheek. Other than that, no injuries on my head. Had I not been wearing a helmet I would NOT have fared so well. Head with no helmet vs. stump... stump wins. I think the helmet in this case absorbed enough of the hit to allow my body to rotate around and pull my head away from the stump. You should have seen the stump though. I was lucky that the stump was partially rotten, which also helped absorb some of the impact.

I was sore for a few days, but I didn't even have a concussion. Was a happy camper.

Went out and bought 2 other helmets immediately. One for the road, one for the trails (which just so happens to be a full face helmet now.)

With that said, I don't wear a helmet on my 3 mile daily commute. But I do wear one when I go out on my road bike (30 miles ish.)

With regards to cost: Higher cost = helmet with more features to make it more comfortable or lighter or better air flow, etc. Safety for all brand name helmets is the same. (Unless you consider the feature that lets the shell slide a few degrees in any direction "safer." I'm not convinced that's useful yet.) At least that's what my LBS told me. You can get a good, brand name helmet for $40.