I love my beauty blender! I was in the states a couple of weekends ago and picked up one from tjmaxx. It is awesome and cost me $4.99! I have some from sephora too. If you do get one, make sure to keep it clean!
I did the same as @smudgee I bought a similar one from Winners (like TJMaxx) for $8. I had an imitation from a drugstore that wasn't as good - too firm.
Pros: makes your foundation look flawless, easy application Cons: pricey, has to be replaced fairly frequently and needs to be cleaned regularly
You can get a pretty similar effect with a regular makeup sponge dampened with warm water and squeezed dry.