I would definitely recommend trying on a few helmets at a local store if you can before ordering online. As mentioned earlier, different brands fit different shaped heads, and it sucks having to pay shipping two ways just to try on a helmet that doesn't actually fit you!
With helmets, they usually offer approximately the same protection (as long as they are certified). The more expensive ones just come with more frills- nicer materials, larger ventilation holes, easier to adjust harness systems, removable sweat liners, etc.
I have a bit of a chip on my shoulder with expensive riding helmets, because I also do a fair amount of road biking, and with bicycle helmets, the more expensive helmets are also FAR less bulky (while still offering the same protection). That doesn't seem to carry over into equestrian helmets and I just can't seem to convince myself that it's worth paying $400 for a helmet that makes my head look just as dumb as a $50 helmet