What should I look for when buying rollers?
What should you look for in a set of rollers?

Price
Resistance if you want it (Kreitler has a nice belt driven 'killer headwind')
Noise level, especially if you live above someone (I am not sure that even Kreitler can solve this problem without some dampening).
Size and weight - if you will be transporting them to races and have limited space.
Susceptibility to corrosion. Unless you don't plan to drip sweat, or plan to wipe them off well after each ride.... get rollers with a good corrosion proof coating.

Also make sure to read these two questions:

Should I buy a pvc or aluminum roller?
What are the advantages and disadvantages of turbo-trainers and rollers?

What sets the more expensive models apart?
Kreitler rollers are well known as the gold standard in rollers, and they cost two to three times as much as the more economical brands. Are they worth the investment? If you have the money, yes. Not only are they nicer, but they will last longer than other rollers. There are a few small shops that make rollers of similar quality at a similar or higher price. Kreitler makes a wide range of roller styles, and they are all of similar high quality.
Most of my roller time has been on a set of Cycle-Ops that I bought second hand for $50, and they were worth more than that. These are a great product, and I have logged about 90% of my hundreds of roller-hours on this set of rollers. They certainly can do the trick, but riding on Kreitler rollers is always a distinct pleasure. Kreitler rollers are luxurious to ride on and are definitely worth their cost.
Some specific differences:

Kreitler rollers are lathe turned alloy drums &quot;to within 0.002&quot; tolerance&quot;. This makes them evenly balanced and roll smoothly and evenly. I have not compared the weights of drums from different manufacturers, but Kreitler drums certainly feel like they have more inertia. Cheap rollers are often made of plastic. Even though CycleOps also uses lathe-turned alloy, they are not as smooth  (I would expect that the design has improved since my set was made 10 years ago). Kreitler drums are solid, including where the bands sit, whereas other alloy drums have plastic disks on the ends for the bands.
The frame on Kreitler rollers is sturdy and keeps the rollers parallel, which helps make the ride smooth. Of course all rollers have three parallel drums, but the sturdy construction of Kreitlers keeps the drums aligned during hard riding and over time.
High quality bearings and other parts
All of the above gives a butter-smooth, quiet, luxurious ride.