considering that many of them are more expensive than regular shampoos. do they make a difference? or are they just a waste of money?

Yes, clearly to me. Using sulfate free is a must to not strip hair. Heard many of these docs on TV also reiterate that

YES! And you can get inexpensive sulfate-free shampoos at your local drug store. Some studies suggest they're carcinogenic. However, even if you chalk that up to hype, they do strip your hair (excessively so) of natural oils -- much more than is necessary for cleaning. Furthermore, daily shampooing with such a shampoo will irritate your scalp (whether you can see it immediately or not). For healthy hair AND a healthy scalp, use a sulfate-free shampoo. Actually, unless your hair is naturally oily, you don't want to shampoo more than every other day or so anyway.

Many people have benefited from Sulfate Free Shampoos. Considering the harmful effects of Sulfate shampoos on our hair & skin, it's worth spending a little more on a sulfate free shampoo. And it doesn't hurt to give it a try once, if you like it, keep using it or else give it up.