In my experience, which is only my experience, paying more got me better whistles. I started out with what was lying around the house, which was various Walton's and Feadog's from various relatives's trips to Ireland. These were frustrating to play--they seemed to rattle or "crack" easily and it was hard for me to tell what was my fault and what might be a deficiency in a whistle made to sell cheaply to tourists. I tried a lot of whistles and found that it was worth it to pay for whistles that had some degree of attention paid to them. Jerry Freeman's tweaked" whistles, Cillian O'Briain's tweaked whistles, Killarney whistles. These three I found just played more consistently: more stable, solid tone, less prone to "breaking," better balance between octaves. The frustration level was much much lower. I have a John Sindt whistle in "A" that's just a joy to play.
As I got better at the whistle, the cheaper whistles got easier to play. That's not a surprise. I recently posted a very short clip comparing a Killarney Eb and a brand new off the shelf Generation Eb. Generation first, then Killarney
http://spokeshave.net/music/gbjig.mp3The Killarney is just more rewarding to play. I'm still not a very good player, but I'll just say again that for me, the level of irritation and frustration was just much lower if I spent more, because more attention had been paid to the sound. I don't think it's automatic that a more expensive whistle will sound better, and "better" is subjective anyway. I've found some old Feadogs and Generations, like from the 1980s, that i really like, and some new whistles that are perfectly good. But I still prefer the Killarney whistles.
I'd argue it's worth it to spend more, but I don't know what the upper limit of that would be, as I've never spent more than about 90 bucks for a D whistle.