A matte box serves two purposes: one, to cut down on unwanted lens flares; two, to allow for easily changeable filters in front of your lens. You may not need one; it depends on how you feel about lens flares, whether you’re planning on using filtration, and how high-profile you can afford to be if you’re on a guerrilla production (a matte box screams “real film” more than perhaps any other accessory, which I suspect is why a large portion of filmmakers run around with one attached: to look legit).
Because matte boxes have historically been used on “real” films (meaning, on productions using cameras that cost several times more than a DSLR), many manufacturers are accustomed to charging five figures for a device that essentially amounts to a box with attachable metal flaps and a couple of slots. To be sure, it is important to get a quality matte box if you’re adding one to your rig, but it doesn’t make any sense in the world of relatively inexpensive DSLRs to spend as much on a box that sits in front of your camera as you did on the camera itself.
In the sub-$1000 category, shooters laud the Redrock Micro microMatteboxes as good values if you’re looking for something large for narrative filmmaking, or the more compact Genus for run-and-gun and documentary work. Other low-cost options include those from Cavision and GearDear. Because I am a poor independent filmmaker I went the route of purchasing a matte box from an Indian eBay seller (the matte box seems to me like a good area to save money in order to divert funds towards other equipment, e.g. another lens), but I plan on replacing it with something more professional as soon as I can afford it. FreshDV has a good roundup review of a number of matte boxes on the higher end (the Genus is the least expensive in the review).
The issue to be aware of with any matte box is getting its rear opening to fit your lenses; generally a matte box’s rear opening is 105mm or larger, and your lenses likely have various front thread sizes ranging from 49-82mm. Some matte boxes come with a set of “donuts” for stepping down to a variety lens sizes, whereas others come with a single ring. I prefer a universal donut like those from Zacuto or Genus, which can save you a lot of time when it comes to changing lenses. Without a universal donut, you’ll need a variety of step down and step up rings (good source: camerafilters.com), and every time you change a lens you’ll have to fiddle with step up rings, which rarely align perfectly. A universal donut is a time-saving advantage and also gives you some leeway with your lenses displacing as they focus (extending or retracting).