You can buy these things all day long with the LED voltmeter for around $6 and $2-3 (USD) from places like Ebay and Deal Extreme. They all are more or less the same designs however quality can vary wildly. Suffice to say you can bet every single component used on these things is a knock off as you can't even buy the switching IC itself in the US market for the cost of a fully functional barebones module from China.
For example with the module shown in the first post in this thread some of the things that I don't particularly care for is the board layout and inductor selection. From the color of the toroid I'm going to guess that it is a type 26 iron powder, and from my understanding at the switching frequency of the IC (150kHz) this would suffer from greater core losses than say a green/blue colored type 52. Personally I prefer ones that have the standard shielded "box" SMD ferrite inductors as they come in higher values (that toroid I'm guessing would be doing good to push 20uH) although in theory the toroid could probably handle twice as much current. The only other gripes I have about the board is the layout... the schottky diode could be closer to pin 2 of the of the IC and since the IC is in the SMD package it is somewhat crippled by thermal dissipation limitations. Basically the board is laid out completely backwards to most designs.
I'd love to do a comparison between modules to see exactly how component selection effects efficiency and performance, especially with the inductor, diode, filter capacitor, and feed forward capacitor selection but unfortunately I don't have a scope.