More expensive helmets are lighter and more stylish (subjective). Sometimes they may be more comfortable or add more features, but usually they don't. In my opinion the best helmets are the middle range ones. If you want more protection, consider a helmet with less vents. The Pro-Tec SXP helmets are skate-style helmets that are rated for multiple crashes. I don't recommend using any helmet after a serious accident, but those are probably sturdier than the average bike helmet. They aren't too expensive either.

http://helmets.org/