I bought one of the cheap chinese pens from but sent it back within a week as it was really crap.
I then bought a proper 3doodler 2.0 and it's much better.
I bought it for repairing RC quad's & heli's. Not for art stuff.
The proper filaments are fairly expensive at around £12 per packet (around 10m).
The 3doodler uses 3mm filament and the chinese ones use 1.75mm.
But you can use any 3d printer filament which you can get around £13-£18 for a 1kg spool (which is 120m for 3mm or 350m for 1.75mm). You just have to cut it to shorter lengths.
I've also just bought a full blown 3d printer tp play with, a chinese makerbot dual nozzle clone.