I've used cheap cathodes many a time. Never had any major problems.
However, I would recomend ordering 2 sets of them, have had them turn up with a tube not giving off much light (not really worth rma'ing something that cost £3)
I've heard storys that they can burn out and catch fire, yet to have any issues myself. Personally I don't leave them on all the time due to this, only put them on when showing off for pictures, and at LANpartys.