I use a £20 ebay one (Konnwei) for generic stuff, it has worked on VAG, BMW, Nissan for various OBD codes, clears codes, see pending codes/stored codes, can read MAF value, fuel trims etc, however it does not do airbags or more complex manufacturer specific stuff.
I use VAG COM VCDS for VAG, it is great for more involved work.
I would say it depends what you want to do, general fault codes a cheap hand held is fine, but manufacturer specific software is always better.
For £20 the ebay hand held is great, showed pending fault codes on a car a mate went to look at without dragging along a laptop.