Pricey is a bit relative here, something like $1 for 10 feet of small diameter wire seems expensive, but it's worth it for good quality wire. It's pretty hard to find really good quality wire though, as in pure copper with silicon isolation that doesn't melt when soldering on it etc.
Personally i prefer the pure copper, non-tinned wire really. That way you can see how much of it is actually copper, and since it's covered by isolation right before you use it, it takes solder extremely well, even better than some of the tin plated copper out there.
If you need to carry a fair amount of current you need to be picky too though. I've had problems with using some of the cheapass dupont connector style wire that got half an ohm of resistance for a 15 cm link. Totally caused the setup i was testing to fail since it lost a full volt in each wire and there was far short of 2 volts to regulate within.
