Here is a quick field comparison of an inexpensive MPU-6000 IMU versus an expensive ($800) temperature calibrated IMU. It is very difficult to make perfectly fair comparisons, so all of this is open to critique. My personal conclusion is that an inexpensive IMU combined with a high quality EKF (and a bit of clever external calibration) provide a very compelling result.
http://gallinazo.flightgear.org/uas/field-comparison-of-mpu6000-vs-vn100/