It depends on how heavy the books are, too. If they are paperbacks and such, the walmart ones do work decent. That's all we had for a long time! We still have one in my husband's office that we use (the other was destroyed by the movers in moving... not bad after moving it 7 times before!
If they are really heavy books, though, like Textbooks, I would recommend watching for the bookshelves at Target to go on sale. They have some that cost quite a bit, but they routinely go on sale for 30-40% off. I got one for my husband and instead of the softer particle board, the shelves themselves are solid wood so they can support quite a bit more weight. They are wider than the Walmart ones and look fancier (I got one for my husband for his birthday in September to replace the one the movers destroyed in his office). Because they're wider they hold more books on the 3 shelf one of those than the Walmart 3 shelf version. I got the 3 shelf solid wood one for about $60 on sale. So it was more, but worth it since it won't bow or die.
Another good place to look is the Goodwill clearance center (I think it's on Montgomery?) They get a lot of furniture in there, and they charge by the cartfull of items (like $24 for a cartfull/large furniture) and I have gotten some great things there. It's hit or miss, but they stock the place twice daily!