Which is better: high end makeup or inexpensive makeup?

I recently ordered 2 eyeshadow palettes from bh cosmetics as well as other stuff. I also ordered a couple of items from cherry culture and elf.com. The makeup that I got from bh cosmetics works really well and I like it alot. But should I get like urban decay, stila, mac, or something like bobbi brown? Can someone who has tried both inexpensive and high end makeup let me know the biggest difference?