The "expensive" laser pointers actually have a "proper" laser diode in them, with at least a colimating lens.
I had a friend pick up some dodgy ones in Singapore, when I took them apart the laser "diode" was a crystal looking thing, sandwiched between 2 copper plates.
The beam quality was terrible, it drew 3 times the current, got more than a "tad" warmish and I'm still surprised they even work!