It's basicly like the difference between a sealed and an open bearing. Less friction, better lubrication (permanent lubrication) longer life, "X" ring chains are better yet and have an X cross section O ring that supposedly holds the grease better... any place that has anything to do with motorcycles should have all of them. Don't know about the on the cheap part, shop around. Sites like bike bandit will get you there too (just make sure you don't sign up for any of their obnoxious e mail up dates) You should also get a chain breaker/riveter tool, the chain you get will most likely be too long and you'll have to remove a number of links, and unless you want to use one of those cheeseball clips you'll need to re rivet the thing.
There should be a number stamped into your links that tells you the size. Which is not the length, but rather the distance between the rivets... or maybe it's the width... I can't remember.