Well there are two types and you need to decide which type you want: there are jackets and sleeves.
The jackets are similar to the jacket you will wear outside when the weather is cold, same concept and then there are sleeves that are basically bags that the kindle slips into and out of. The only problem with the jackets are that they add extra weight to the kindle, in my case that extra weight was hurting my hand that held it thats why I ditched the jacket and bought a sleeve. Some people don't like sleeves becuase it takes a little time to unzip the sleeve to get at the kindle.
Personally I like the Skque sleeve that I bought a while ago from overstock.com for $2.50 - tinyurl.com/bsgq64l. Its cheep and works great. I would bet that overstock.com has some cheep jackets as well, however since I no longer use a jacket I really don't know about them any more.