I'm planning to get the one from Walmart today. I looked at birth balls online, and there are some decent brands for about $25-30 (exercise balls, actually). Check the midwive/doula/CBE forum in Birth & Beyond for a thread in the last week or two about birth ball brands. There were good ones listed there.
Yesterday, I had to crash at my parents' house after my u/s got rescheduled (my parents live near my doctor's office, and I don't). They weren't home, but I discovered that they just bought an exercise ball. It happens to be the blue one from Walmart. The brand name is Danskin. It's anti-burst, 65 cm (blue one), comes with a pump, etc. I sat on it and it didn't burst on me.
It felt really comfy! And I looked online and found that Walmart lists them online for just over $16, so not a bad price. I need to do my weekly grocery shopping anyway, so I'll just get the ball while I'm there. If you need a smaller size, the smaller ones would be cheaper. I'm 5'9", so the 65 cm is probably what I need.