After reading an article in Cooks Illustrated magazine comparing various cookie sheets, I purchased their top pick - The Vollrath Co Cookie Sheet. Cooks Illustrated actually called it "The Holy Grail of cookie sheets". I can't say enough great things about, I don't have any complaints, in fact I think they are wonderful.
I think mrslarkin is the master and you should listen to her. I don't have any of the sheets she recommends, but my very favorite cookie sheet is made by Calphalon. I also recently tried a non-stick sheet by Circulon that is inexpensive and works well. (But it has a weird circular pattern on it.) And I have double-thickness insulated cookie sheets by Wilton that I'm iffy about. I pretty much only use them to make meringues.
For most cookies, I usually use heavy-duty sheet pans, like this one: http://www.amazon.com/Nordic-Ware-Bakers-Half-Sheet/dp/B000G0KJG4/ref=sr_1_1?s=home-garden&ie=UTF8&qid=1294595662&sr=1-1
But I also use these cheaper ones too for some recipes: http://www.amazon.com/Good-Cook-Non-Stick-Cookie-Sheet/dp/B0026RHI3M/ref=sr_1_2?s=home-garden&ie=UTF8&qid=1294595702&sr=1-2
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But I also use these cheaper ones too for some recipes: http://www.amazon.com/Good-Cook-Non-Stick-Cookie-Sheet/dp/B0026RHI3M/ref=sr_1_2?s=home-garden&ie=UTF8&qid=1294595702&sr=1-2