Me too! I hope you get some replies here. The ones I have now aren't super cheapies but somehow grease still seems to appear.
Please help us out folks. :-))

The January-07 issue of Cooks Illustrated had a brief discussion of splatter screens:

"...Diameters of 12" or less proved insufficient for skillets with an equally large face. And models with overlaying--and painfully heat-absorbing--handles were highly problematic. Gimmicky designs, such as adjustable arms or dual screens designed to fit skillets of varying sizes, did not work. Traditional lollipop-shaped models were better. Though no single screen perfectly combined splatter-proofing with ergonomic stability, the Amco 13-inch Splatter Screen ($15.95) edged out the well-anchored Norpro model and won for its nearly impermeable mesh face, which corralled the grease and kept our hands clean."

I use a piece of tin foil. This is the easiest and best thing I have found. And no clean up!

"I use a piece of tin foil."

That would be a lid, or cover. Great if you're looking to steam something, not fry it.

For those looking for a better splatter screen, try stacking two on top of each other. If something gets by the first screen it's doubtful it'll get by the second...

No it's not. The foil can be tented and works great. I've been frying successfully with this for years.

Just bought a splatter screen from Pampered Chef. Not sure how well it works since I haven't used it yet, but I'll keep you posted. It was $22.50, so you can guarantee if it doesn't meet my standards, I'll let them know.