For me the Thermapen is worth every penny to me. It's fast, accurate, and reliable. I know that if I pick it up it is going to work and that alone is worth a premium. I've also had good experiences with their customer service - they will replace or repair them with little or no hassle.
Yes they are expensive but my oldest Thermapen is at least 10 years old. If you keep an eye out it's not hard to get them 25% off or more.