I would highly recommend the Falken Ziex 912. They've been praised by a number of magazines (Grassroots Motorsports among them - They know what they're talking about) as the best choice for a cheap all-season.
I second this...but I had them a few years ago...the 512 model. By far, one of my faves I've had. The ones I have right now are Yokohama Paradas...I love them, and they have a really sexy tread pattern to them also. I always get comments on the tread pattern.
Here are all the sets of tires (that I can remember) that I've owned. I'll put my favorites at the top, and least favorite at the bottom:
Yokohama Paradas (loud, slippery in the rain, but last forever...and look cool)........................All season
Falken Ziex (quiet, nice and sticky, were great in snow and rain...but wore out too fast)...........All season
Toyo Proxies (quiet, nice and sticky, were great in snow and rain, lasted the longest)..............All season
Pirelli Winter 210 (loud as hell, but very sticky on ice and snow, lasted a long time)..................Winter
Dunlop SP 10 (on the loud side, very sticky, but no good in rain).........................................Summer tire
Dunlop SP 9000 (on the loud side, very sticky, but no good in rain)......................................Summer tire
Khumo Ecsta Supra (just hated them) nothing nice to say.
...........................................All season