Have a look at the video story at this link. It's an investigative journalism story from a consumer affiars show.
http://www.cbc.ca/marketplace/packing_the_deal/
I would conclude that there are no differences in cables in terms of data transmission. They all have to meet the HDMI standard. There would be differences in quality of construction. So a more expensive cable might have better strain relief around the connector or it may be more durable for repeated connection and disconnection. Whether that is worth the extra cost of the premium cable is your own judgment.
http://www.cbc.ca/marketplace/packing_the_deal/
I would conclude that there are no differences in cables in terms of data transmission. They all have to meet the HDMI standard. There would be differences in quality of construction. So a more expensive cable might have better strain relief around the connector or it may be more durable for repeated connection and disconnection. Whether that is worth the extra cost of the premium cable is your own judgment.