I don't think you need expensive strings per se, just good ones, and even the best ones will break. My current preferred strings are CF Martin Darco .011, and in the past I've used Fender 150s and GHS Boomers in a variety of gauges (I've settled on .011/medium as my favorite). All are good quality strings IMO, but right now Darcos are the cheapest. I'd personally suggest that you bypass the more gimmicky strings--I've tried Fender Bullets and Tremolo Boomers and I wasn't all that impressed with their so-called benefits. Hope that helps some.
Incidentally, I have the same problem with strings breaking on the bridge saddle of my Epiphone Les Paul. I think it's that crap metal they make the saddles out of (mine had the black hardware, and now it all grainy-corroded). Sometimes the area around where the strings touch the saddles looks discolored, as if there was some kind of chemical reaction going on there. Hmmm...
cheers
Billy S.