To a weight weenie a more expensive headset is usually a lighter headset.

I haven't replaced many threadless headsets, but I know that there at least a 30g difference between a threaded Shimano 105 headset and a Shimano 600 headset.

I'm not a weight weenie myself, but I can easily tell the difference in weight, and operation between a 105 and a 600 headset. There's enough of a difference that I always look for a 600 headset when I need to replace one.

I have quite a few Tange threaded headsets and they work smooth, but they are way heavier than the Shimano headsets.