I had a $20-30 Radio Shack desoldering iron with the bulb suction device and it was almost totally useless. Low wattage, didn't work for much, and the bulb had very little suction. And this was in addition to the obvious flaws of no adjustability (unless you have a variac you can use for it, heh) and no stand. I threw it out after only a couple attempted uses. My old Weller WES51 with a regular tip along with a solder sucker, while not that great either, was better than the cheapie desoldering iron. Total waste of money.
I just got a JBC CD-1BC soldering station, btw, and the only time I can recommend something like the WES51 is if it's rarely going to be used or if you're not soldering difficult things. The JBC was 4-5x the price, but I'd have a hard time recommending the WES51 now, even with the significant price difference.
As for the Rhino product Dave reviewed, I don't think I'd be willing to buy such a low-quality product.