It seems like I always end up buying a new one every 8-10 years, as the technology improves. But, I've yet to find one that is absolutely perfect each and every time... most have problems when it comes to double studs or horizontal blocking and you can forget determining the size of a lintel above an opening.
The first one I used (~40 years ago) had a floating magnet inside to detect nails. The main problem with this is you really don't know if that nail is barely on the edge or in the exact center of the stud.
The newer ones use capacitance to detect the actually stud, that is if it's not too deep. Most of these have a backup mode to detect metal (nails/screws) when you have more than about an inch of drywall.
Some of the more advance ones can even tell the difference between between studs/wire/PVC/pipes in the wall, like this Dewalt unit...
http://www.amazon.com/exec/obidos/ASIN/B00ACF6QTC/awh
I think Milwaukee also makes a similar unit.
I don't think any of these are worth a damn when it comes to lathe/plaster walls, but I would love to be proved wrong!
