I've had a lot of different brands and have found one that is truly well made and worth the extra few dollars. The Lincoln Lubrication 1134 Heavy Duty Pistol Grip Grease Gun with Whip Hose and Rigid Pipe is the one for me and my friends use it as well as it is much better then the ones from auto stores. Do a Google search and you may end up buying through Amazon as the best value.
Do keep in mind that most greases, no matter which brand, will break down with time and heat and allow oil from the grease to become viscous enough to "leak" out of anything that should contain it.
As a side note, I have found a grease that meets or beats most other general purpose greases found for marine applications... I use "Green Grease", which is waterproof. Most other marine greases are only water resistant... Green Grease is available at Napa and other auto stores.