So, maybe some folks can elaborate a bit, as I've never purchase aftermarket coilovers for any of my previous cars. My knowledge is limited. What does the extra money really get you? Considering that I rarely drive my car on a track, and even then, not competitively.
Typically... higher priced dampers get you the following:
Piston options - common types of pistons include (but not limited to) linear/linear, high flow linear or digressive, digressive/linear, digressive/digressive, velocity dependent, regressive, etc.
Low friction guides, seals & piston bands - less friction equates to less hysteresis and more predictable damping. There will always be some friction associated with the motion of the shim stacks. Other sources of friction can be minimized.
Usable adjustment ranges - some cheap "adjustable" dampers don't actually do much adjusting. It can be a marketing knob or placebo knob. High quality dampers offer usable, often larger adjustment ranges.
Linear adjustment increments - So, you just bought a set of cheap 40 level adjustable dampers. Great! Unfortunately, 20 of the clicks don't do anything, 17 make small changes and 3 make huge changes. This can cause unpredictable adjustment results. Higher quality dampers typically feature consistent adjustments with each increment of the adjuster.
Upgradeable features - some damper manufacturers offer features "a la carte". Want a double adjustable bleed shaft? Done. Want 2 way adjustable compression reservoirs? Done. Want base valve adjustable compression damping? Sure thing. Of course, every option has an associated cost and not all options were created equal.
Service and Support - if/when you get serious about damper tuning, service and support are key. Whether you go the route of rebuilding or revalving dampers yourself or work with a vendor, getting the parts & results you need are key. Some manufacturers do not offer non standard valving, let alone body length modifications, custom perches, piston options and the service & testing that goes along with this work. Looking for the perfect blend of comfort & performance? A damper builder that is willing to work with you or one that has the relevant experience could lead to a worth while improvement to your chassis.
Many people are fine with stock-quality dampers. Many people are fine with cheap dampers that provide aesthetic improvements. I think you'll be hard pressed to find someone who has spent money on high-end shocks that will say it's not worth it.
Also, check out my
shock dyno thread, if you're interested in some of the more technical differences in Lotus shocks.
Just my 2 cents.