6 years ago I moved into my current house and bought new CFLs for all of the fittings, all of them are still going. All were the very cheapest the supermarket had to offer. Even if they all go tomorrow, I've saved way more in electric costs than the cost of the bulbs, but they show no sign of going yet. At least over here in the UK, the price doesn't seem to dictate the life time. The higher priced ones only seem to "add value", things like better appearance, different colour warmths etc.
As with many things, buying the very cheapest is not the way you're most likely to have a good experience.