I used to work in a tool and die shop, and now for a company that makes part for landing gear. I'm not a professional machinist, but this is my take on test indicators from what I've seen over the years:
Mitutoyo (Japan) - High quality, reasonable price. My department has a .0005 and a .0001 in our toolkit for machine alignments/manual machine work, and I notice what seems like a bit of "slop" in their travel. Overall, they perform very well though.
Peacock (Japan) - High quality, a bit cheaper than Mitutoyo. The machinists at my current workplace swear by them, and that is all we buy for the shop floor now.
Starrett (USA-ish) - I've had little experience with these, but no one where I work now or in the past seems to like them. I'll leave it to the other posters to comment on.
Brown & Sharpe (USA,Swiss) - Very high quality, I think a bit higher priced than Mit. The die makers I've worked with would buy these exclusively, and I have a .0005 that is much more solid than the Mits I have at work.
Tesa (Swiss) - Another Hexagon Metrology brand like Brown & Sharpe, comparable quality to B&S but definitely less common.
Interapid (Swiss) - Hexagon Metrology's high-end indicators. Extremely high quality, and priced to match.
Compac (Swiss) - Another Hexagon brand, falls in-between B&S and Interapid in both quality and price.
Mahr-Federal (Germany) - Comparable to Mit in price and quality.
Fowler (?) - I've never met a man who admitted to preferring Fowler tools. And if it's new, good luck guessing where it was made.
If my diatribe helps anyone...
Edit: I should have mentioned, these are not the only brands out there, but the only ones whose test indicators I have had any experience with. If you are doing "rough" work and don't need any finer than a .001" indicator, most any brand should work with varying levels of longevity. SPI (I believe they're all from China now) would be worth investigating if you don't care where your tools are made. I have a 1-2" digital SPI micrometer (my only Chinese tool) which is the biggest and most awkward mic I've ever used, but it measures dead on. I'm just not into buying HF specials or no-names for inspection tools.