The guy at the cigar shop I go to mentioned this as well. Here's why to stay away from cheap butane:

For the extra $0.50, that's all it cost me to upgrade to the good stuff.

[Quote from article]:

"Just like with the gasoline for your car, some butane fuels are cleaner than others. Choose a butane fuel that has been recommended for jet torch or flameless lighters. The brands I recommend are Colibri Butane, Prometheus Butane or Dunhill butane. They seem to be the cleanest and work better than others. Additionally, I recommend that you never use Ronson Brand butane or most of the other brands most often found at a drugstore. Your local tobacconist or premium lighter retailer should have premium butanes in stock.

What's the difference in butanes? Well, the difference is the amount of oil present in the butane. The higher the oil content in the butane, the quicker your lighter will gum up.
Just a little bit of common sense prevails here. If you put oil in your butane lighter, the oil will eventually clog up the butane release valve. Your lighter will not light properly if the butane valve is stopped up with oil or any other foreign matter. (The butane release valve, as I call it, is the place where the butane comes out to be ignited and cause a flame)."