When it comes to sprinklers this is definitely a case of getting what you pay for.
You can buy a sprinkler and nozzle all in one for around $3.00 in some places. Or you can buy a reputable brand name sprinkler body (Toro, Hunter, Rainmaster) as well as nozzle for a bit more.
When buying sprinklers the question I suggest you consider is how long will it last and how much am I prepared to mess around with it?
If you are happy to pull it up, push it down, clean it out etc then buy the cheap one every time. If you want a sprinkler that will do what its supposed to do for around 5 years then spend a few extra $$ and get quality.
I use Toro sprinkler bodies and recommend them as they seem to have the best durability.