You don't have to spend a large amount of money on eyeliner pencils to get a great liner. First you need to think about what you want from your eyeliner pencil, do you want to use it on your waterline? do you want it to glide on without effort? do you want it to be glossy? glittery? or metallic? what colour do you really need? and so on. Once you know what you actually need you can start searching for the perfect liner.
Waterline: If you are looking for an eyeliner to use on your waterline it may be worth looking into wateproof pencil liners. A thing you may want to consider is wether or not you have sensitive eyes, don't go for glitters or too heavy shimmer as it may irritate your eyes.
Glossy liner: In my experience glossy liners tend to smudge and transfer more so keep that in mind when you go looking for a glossy liner.
Easy glide: If you have more mature skin around the eyes you certainly don't want a dry waxy pencil to pull at your sensitive eye skin. Go for a liner that will glide on without effort.
Colour selection: There are tonnes of colours to try out, you need to know what will suit you and what you will actually wear. I have often found myself gravitating to neon liners or metallic pinks because they just looks so darn cute, then I may wear it once or twixce before it end up in a drawer somewhere. What I do to see if a certain colour of liner could work for me is to take an eyeshadow as close to the shade as possible and the apply it as a liner with a tiny thin brush. That normally gives me a good idea wether or not something will look good on me, some of the times I even end up thinking "hey this eyeshadow works just as well as a liner, why do I need a new liner anyways?"
Long wearing: It's actually more resonable to buy a more expensive but super long wearing eye pencil than a cheap one that needs touching up all the time. The longer it wears the less you have to touch up and the less you have to sharpen it and then you won't have to go out and buy a new one as fast.
Try before you buy: most stores have testers and it's always a good idea to pick a few potential eye liner pencil to try before you buy them. Test them on the back of your hand, take notice of how well/badly they apply, how pigmented they are, do they glide on? then leave the swatches on your hand and go home. You can then go home and try and wash your hand or rub on the swatches to see wich one stays on the best. That will give you a good idea of what you are getting before purchasing. You can always go back to the store the next day :)
I personally really like liners that goes on smoothly and that can be used on my waterline as well as my upper lash line without smudging. I really really do like Urban Decay 24/7 liners but for 19 bucks a pop I am willing to look for alternatives... and so I did.
NYX slide on pencils: retail for about $7 that is a saving of $12! and I find them to be both long wearing and super easy to apply.
Sephora Flashy waterproof pencils: These are truly pigmented, they glide on smoothly and they last really really well on my waterline. They retail for $8 and they are my absolute favorites.
I really hope you found this post informative, and feel free to add product suggestions in the comments :)