i would say that in general, expensive makeup brushes are good quality and work well, but this doesn't mean that there aren't cheaper alternatives that are just as good if not better.
for example i'm obsessed with the MAC 187 brush which is over $30--but Lumiere makes one for $20 or so that's supposed to be just as good.
my favorite brushes i got for dirt cheap at a diane von furstenberg sample sale--they're soft, deposit color beautifully, and just overall amazing. i probably paid $5 per brush or less (although they retailed for a lot more).
in addition, there are many drugstore brands that make really nice makeup brushes and that are raved over on beauty blogs.
not really but you want a brush that will apply the makeup on your face properly.
some cheap makeup brushes (and I experienced this) do a great job, but the "hair" would be so harsh and rough on my skin. (ex, this $5 powder brush from CVS) but when I got a $22 powder brush from Sephora it was so soft and gentle on my skin and the makeup was evenly applied on my face.
With some brushes it makes a difference, but not with most of them IMO. What matters most is the texture and shape of the bristles. You can use paint brushes from the craft store, like Jenny said, or you can just look around for brushes that feel/ look nice and fit your budget. I never pay more than ~$20 per brush and all my brushes are excellent. I do have a couple higher end brushes, but they were either part of a set or I bought them on clearance...
Cat hair brushes sound lovely...I'll have to try that. I wonder if my DH will be allergic to kissing me if I use a cat hair brush for makeup. I know he isn't allergic to Razorbacks, which is why I currently use Hog hair.