In general, you get what you pay for.
My personal recommendation is to go with Phil Worbington, who custom makes each pair of sai to fit your hand / arm combination.
http://www.worbingtonsteele.com/
He's an expert metal worker, in addition to being a highly experienced Karate-ka, so he knows what he's doing.
I have two pair of the Worbington sai, one's a heavier, 7/16" thick shaft pair for strength training, and the other is a 6/16" thick shaft pair for more speed. Both are exceptionally well balanced, and very comfortable for me to use, since they were made for my measurements.
Last I saw, his price was about $225 for a pair, but it's worth it, and a lot less expensive than the Agena Energy sai.
You can also get any color wrapping on the handles, which are a very strong, tightly woven cotton thread that is bonded to the handle. They don't come off, and they're much nicer to use than the leather grips that the generics use.
He'll also put any finish that you want on there that he offers, no extra charge. You can get the brightly polished finish, the gold finish, or my favorite, the antique finish.
If you're more on a budget, then Shureido's "Natural" sai, that are made of blackened carbon steel, are a great choice, since they're also very well-balanced, and come in at about $175 a pair from Shureido USA (linked above). You have to keep them oiled, though.
They'll ask you if you want the standard "heavy" pair, or the lighter pair, much how I have my two pair of sai mentioned above. I usually tell students to go with the lighter pair.
If you want Shureido's stainless steel ones, you're looking at around $200, in which case, I'd simply recommend you go with Worbington's sai.
If you have your own dojo, then ask them for a wholesale account. That's where the sai should drop a good bit.
Agena Energy sai are also very nice, but now you're looking at $400 / pair.