As much as I love great olive oil, I also recognize that depending on how you're using it, you don't always need the most expensive. As a general rule, I use good olive oil for cooking; great olive oil for making salad dressings; and the very best olive oil when it is being drizzled over an item as a "finishing oil."
Some of my favorite brands are: Alziari, Capezzana, Castello di Ama, Fontodi, Monini DOP, Núñez de Prado and Olio Verde.
When shopping for olive oil: Look for olive oil that comes in a non-clear bottle; a good oil's herbaceous qualities are destroyed by heat and light. If you have the opportunity, try a few oils and see what you like. Many stores offer samples. I like a peppery, throat-burning style of olive oil, which generally comes from Tuscany. And no matter what oil you buy, use it within a year. Unlike wine, olive oil does not get better with age.