A good olive oil

OK, I think with the findings coming out today about diabetis and cancer, Im sold.
I need to clean up my act, and margarine is one of my worste culprits. I dont like butter, but, have used more than I want to admit for holiday baking. I was wondering if those of you who were already big olive oil eaters, do you find that the stuff at the grocery store is about the same as some more pricey stuff. Could you all help me with what you think is a good and afortable oil.