First for the sub-$40 heli's make sure you get a "3-channel". The number of channels gives you the number of control you have over it - like one channel is forward and backward, another channel is throttle and rotation and the third is usually right and left. Two channel helis are more or less junk - make sure you get a 3-channel.
For these cheap two helicopters, they fly one of two ways:
1. like anti-gravity devices that the first time you try it you go "wow" and when you let go of the control it just sits there in one spot and doesn't move and when you hit left it goes left and then when you let go it just stops and sits there. This feels a bit like magic.
2. like #1, except it's finicky and drifts around a bit and you really can never take your hands completely off of the controls and when you move left it goes left but when you let go it never really stops. This makes it really hard to control - it works, but it's always a bit out of control.
To get #1, you really need to pay >$70. Good models that exhibit #1 behavior are the Eflite Blade CX2, and the ESky CoCo Lama V3 (V4 isn't as good as V3). It really doesn't make a huge difference which ~$40 model you get, they all use more or less the same components and electronics. The Walkera Dragonfly is pretty ok.
If you pay ~$40, you'll get something more like #2. It flies and it flies ok, but they are always moving and they are tricky to fly - particularly to, for example, land on top of a small box or soemthing. If you just want to get up in the air and then fly around a bit and then land, then you'll be fine with #2 once you get the hang of it (and assuming you don't break it while you get the hang of it). They are fun, they aren't complete crap - they really do fly ok - but they are not a precision device in my experience. The best manufacturer of <$40 micro helis is Syma. The Syma Mini Shark and Mosquito are pretty good.
If you want to fly around and land on things and do things that require some level of precision then get an Eflite Blade CX2 or Eflite Blade MCX or a Coco Lama V3 or V4. The Eflite's will be around $100-120. The Coco Lama's will be $65-100.
I used my Coco Lama V3 a fair bit before I wore the batteries out. My kids and I would attach notes and then fly the helicopter out of their bedroom window on the second floor, out over the yard and onto my neighbors patio table where their son swapped notes and then I'd fly it back or one of the kids would, back into the bedroom again. One time I attached a mini wireless camera and flew it around the house while my kids watched on the laptop (it worked ok, but there was interference from the motor and it was a bit heavy for the heli so I had to take all of the plastic off of the heli to get it to fly...). One time I rigged a little flash paper cannon that shot a fire ball out of the front of the front (got the mini-flash paper launcher from theatereffects.com)