I think it is like most things in life: you get what you pay for. A good quality filter is a joy to use, easy to keep clean, and fits the lens like a glove. A good filter is usually made from top quality optical glass and will not distort images in any way shape or form. Good filters are coated both sides and will have special coatings for digital use preventing flare and ghosting.
Cheap filters may not be totally flat; they may be made from optical glass that has been rejected by other manufacturers; will most likely have cheap aluminium frames that can jam solid when you put them on your lens and cause damage to your lens filter thread when you try to free them; may not be coated properly.
As I say — you get what you pay for. My opinion is buy cheap, buy twice.
edit: I have a 77mm Canon CPfilter. It cost about 150 quid when I bought it, but to be honest, I hardly ever use it. What you should be asking yourself is 'DO I REALLY NEED THIS FILTER?'
By the bye, if you have a cheap polariser and want to know if it is really a circular type, or just two linear filters put together. If you hold it up to a mirror and look through the face side at the reflection, it should show you completely dense black glass that you are unable to see through. If you can see through the filter reflection in the mirror, it aint a circular polariser.