I have a pair of Ortlieb Classic panniers. They're the only ones I've ever had, so I can't compare them with others, but I love them. Sturdy, truly waterproof, and really easy to take on and off. I usually only use one, so I'll get twice the lifespan from of them (which, based on my experience so far, will be many years).
I paid around $125 at my LBS, but I'm sure you can get them cheaper on line (probably close to the REI units). I've seen them on eBay for $50 bucks or so.
Russ