Most hook up via an optical encoder (like an Optipac, or an Oscar pre-hacked mouse or whatever) and are pretty much interchangable. There are some exceptions, like the Happ USB trackball, which just plugs straight into your PC like a mouse (this is a specific Happ trackball designed for hooking up to PC hardware, Happ do sell regular trackballs as well which hook up like all the other brands).
The only difference between brands I've noticed people worrying about is whether they're active hi or active lo (I don't know what the difference is, I'm assuming they want different voltages or something). There's a jumper on the optipac to set which particular type you're using, I don't know about other encoders.
The Ultimarc trackball is the cheapest I've found, but this may depend on where you're based for figuring in shipping costs etc. From what I gather those and the Wico ones are Suzo trackballs anyway.
Some people seem to prefer the Happ trackballs, but they are more expensive.
The other thing to think about is whether you want a 2.25" or a 3" trackball. The bigger ones probably feel more 'arcadey', then again the smaller ones are cheaper and may afford you more space on your control panel, plus they're the same size as pool balls, so finding weird looking custom balls may be easier.