But what about price?
You do want to buy the best you can afford, but that is not to say you'll be paying the most. Price alone is not a guide to the quality of anything.
Some people do subscribe to the notion that paying more assures you're getting a better product but there are far too many exceptions to follow it as a firm principle (and just in our realm it's easy to discover it's very much not true when it comes to modern woodworking tools).
But it is broadly the case with abrasives that if it's very cheap you'll be getting something poor and if you pay more you will be getting something better.
Good paper lasts longer
There can be a huge, almost unbelievable, difference in longevity between a really cheap paper and a decent one, with the pricier one possibly lasting ten times longer. I recently found a cheap flint paper, very old-school, and it wears down to bare paper after only a few minutes of use, where you might get an hour or more of similar hand sanding from a quality resin-bonded paper before it's too worn to be of use*.
Not just longevity
In addition to longevity there is another issue of abrasive quality and that is consistency in the size of the grit particles. If you've ever sanded something and afterwards noticed a few very obvious deep scratches that can be down to one or two errant particles of grit that are larger than they should be. This is usually a big problem with cheap papers.
Broadly speaking FEPA papers (with the P in the number) are screened to a higher uniformity than the American grading system, CAMI. But a good CAMI paper will be significantly better than a cheapie that is supposedly the same grit.
Once you get away from the really cheap stuff picking good/better/best gets more complicated. Between different brands of decent paper, as well as different types of paper from one maker, quality can vary in ways you can't predict and price is likely to no longer be any guide as there is more of a premium on one brand name than another (the problem with woodworking tools). If you don't want to buy a bit of everything and test them out for yourself you'll need to get specific recommendations from people who have used what's available to you and compared.
Last thing, it's not just paper-backed abrasives we can pick from any more. There are now abrasive screens or meshes such as Abranet to consider, and a few types of abrasive films are now more commonly available as well.
*Not enough to reveal the backing paper, just worn enough that that it no longer sands efficiently.