What Einion said.
One of my teachers went so far as to say one should always test every brush before buying it. Art supply stores often have a little pad of paper for testing the pens they sell, and just like that he recommended wetting the brush and testing its flexibility and handling on the paper.
I'm not sure art supply stores were ever very happy with that policy, and it's an awful lot to ask in these days of brushes glued for transport (that is, a water soluble glue holds the brush to a rigid shape).
You also won't find "cheap" and "kolinsky" together, in general. The cheaper brushes tend to be made of weaker, more brittle hairs, or stinted on the amount of hair used or the quality of the glue holding them in the ferrule.
That said, Raphael makes a pretty good kolinsky brush.