I haven't had much trouble with the different types/brands of sleeves that I've used, but there's 2 types that I would avoid when shopping for sleeves:
Ultra Pro metallic sleeves. The metallic look on the back wears out after awhile leaving you with marked sleeves that you can't use.
Max Protection Neo (foil) sleeves. These are the worst sleeves I have ever encountered. While they look cooler than any other sleeves, they are complete crap. I bought 2 packs (of 50) yesterday to try them out and within 15 mins of sleeving up my deck and shuffling lightly, the bottom corners and sides started to split and/or get stuck to each other. It's not a very good sign when you have corners of cards going in between the foiling and the sleeve itself. So avoid these at all costs.