I just bought one of these things, and I researched them quite a bit.
The only places in the U.S. where radar detectors are illegal are Virginia and Washington DC. That said, there is a difference between a radar detector and a radar jammer. A detector simply detects the signal, a jammer will try to block their signal from catching you. Jammers are illegal in more places.
Basically, you get what you pay for with a radar detector. Generally, the more you pay, the more advance warning you'll get. A really cheap one probably isn't going to give you the time you need to slow down after detection.
What you really need to do is look at some reviews:
http://www.radartest.com/
Before buying the one I did, I was planning on getting this one:
http://www.amazon.com/Whistler-XTR-...1?ie=UTF8&s=electronics&qid=1224616959&sr=8-1
For the price, it is very good. Instead though, there was a decent one for sale on woot for $40, and I couldn't pass that up (it was the Whistler XTR-550).
If you can spend more, the Escort 8500i is probably the best for the money in the upper tier. It's about $300 though.