For the vehicles, I use Valvoline or Castrol 10W-30. Tractors all get Shell Rotella 15W-40. 2 stroke engines use Castrol 2 stroke oil. I've switched to AGCO Permatran 821XL for trans-hydraulic fluid. I've always used wal-mart and other cheaper oils, but I recently had a bit of a scare with it, so I've switched to a high quality oil I can trust.
Cheap oil is NOT worth it. You save a few dollars on a product that is lubricating an engine or transmission worth thousands.