There are important differences.
If you want to drill through thicker material, each step needs to be longer so it will exit the back side before the next step engages the front side of the material. However, long step bits are usually more of a hassle when working in tighter areas, so that's why most step drill bits don't have long steps.
If a step drill goes too large at the top end, the bit itself often will not fit down into the area where you want to drill a smaller hole.
If you want to drill thin sheet metal, you are better off with a step drill that has straight cutting edges instead of cutting edges that curve or slowly spiral around the bit. Straight cutting edges help the bit to better cut through thin material without the bit wanting to grab at or self-feed into the material.
If you want to be able to make custom sized holes in thin material, buy a step drill that's cone shaped or stepless. If you don't need to make custom sized holes, skip the cone shaped bits, because they are harder to stop at the right spot consistently if you are wanting to drill multiple holes of equal diameter.
If you want to enlarge existing holes in areas that have obstructions close behind, use a step bit that has a correctly sized large blunt cut end. Those can be expensive though, so that's why it is nice to have a couple cheap step bits on hand. If you use a cutoff wheel to remove the end of a cheap step bit for a custom one-time job, you will only be out a couple dollars instead of $20+.
I have probably 20 or so step bits. Cheap ones like the ones from HF as well as high quality brands. The cheap ones are more likely to go dull on the cutting edge, the expensive bits will stay sharp longer but will often eventually chip at the cutting edge. I prefer bits that go dull instead of chipping, so my selection leans a bit more towards the cheaper bits. I can resharpen a dull straight cut step bit a couple times pretty easily by using a Dremel or Foredom tool. You often have to grind away a lot of material to remove a chipped cutting edge, so a badly chipped higher quality bit is often not fixable. You have to either lean the bit side to side (while cutting by hand) to get it to cut through the chipped area or you throw it away.
Most people would be best served by picking up a couple cheap step bits (that still have good online reviews) in different sizes for general use. Buy better quality bits for any styles that you find yourself using most if you feel the need later on.