They may have different additives in for anti-corrosion / stabilisers / disperants etc.
Check the owners doc in your car along with the viscosity (5w30) it should state an API or ACEA code. If it was my car and the cheap bottle lists the same code as my car I would go for it. But it's up to you. If it does have the right API/ACEA code the extra cost may be for VW spec approval stamp.
This explains the ratings
http://wiki.seloc.org/a/Oil_Labelling_Explained
From my time working at a petrol station the majority of people only check it's the correct viscosity, which is probably the most important specification but I like to get the right stuff. Modern cars are becoming more fussy when it comes to oil requirements.