Pay a little more for quality.
Very often with supplements, what you pay for is what you get. Bargain-basement supplement manufacturers tend to buy the cheapest ingredients while higher-tier brands source more potent herbs and research-backed nutraceuticals. Also, if you look at the amount of the actual ingredient you want — such as an omega-3 or vitamin D — in one pill from a cheaper brand and compare that to the amount in one pill from a more expensive brand, you'll often find that the pricier product gives you a better bang for your buck.
Still, the most expensive supplement on the shelf is not always the best. Other factors, such as a manufacturer's small size, can make one brand pricier than another that's just as good. But in general, it's usually wise to bypass the cheapest product you find — especially if you're shopping online — and be open to paying a little more for a better supplement.