Has anyone tried this with a cheap Android tablet (under $100) like the ones sold on Ebay and DX?
In theory it should work fine on a cheap tablet, so long as the tablet properly supports Android 3.1+. The feature is, after all, part of mainstream Android.
In practice, and from some limited experience, these cheapo tablets tend to be a crapshoot with respect to software support in general, let alone support for a more "exotic" feature like USB host. You really need to try it first, and I wouldn't count on it.
In the ~$150-$200 range, Nexus 7 works well, as do many other tablets; one user recently reported a refurbished Acer A200 working well, for example. We maintain a wiki of supported devices here, but generally newer name-brand devices are more likely to work without any fuss.