What are the 'cheap' pellets you are using Fred? If they are food grade? If they don't burn too fast, and don't have a glue binder, I don't see why you'd want or need to go more expensive.... I think the type of wood is more important than price. I suppose some cheap pellets may not be compressed as much, so they might burn quicker?

I'm gunna smoke a couple chickens today. I plan to use a mix of Mesquite and Apple, with a honey bourbon glaze towards the end of the smoke (saw this on a cooking show: Southern at Heart).