Though expensive, I can't say enough about the Penske's on my car. There really is a difference when you make an adjustment, though I have not had direct experience with some of the lower end adjustable shocks, many people that I have talked to say that adjustments sometimes can't even be felt in the car. The Penske's are standard fare in most auto racing, so there a bunch of folks out there who can revalve and service them. The guys at Hoerr racing are excellent to work with if you are in the market for these.
Other high end adjustable shocks are Ohlin, Moton, both seem to be around the same price as the Penske's (about $700 per corner for double adjustable, $1100 per corner for triple adjustables).
Keep in mind, this is an instance where you really do get what you pay for.