Kosher Champagne/Sparkling Wine
If you like your champagne dry, I think the best kosher options are from Lauren Perrier - my personal favorite is their rose. However, I don't think they're cheap (especially the rose), but "hugely expensive" is a relative term, so you'd have to decide for yourself. A less expensive option might be Barkobsa (sp?).
Having just gone through this myself, i can relate. In the end, we chose the kosher Nicolas Feuillatte brut. It was quite good and cheaper than the Laurent-Perrier kosher version.
Short of going the cheap route with a Kedem or a Bartenura Spumante, Korbel might be a nice compromise. But I would recommend the Nicolas Feuillatte.
My uncle, a serious wine person, succeeded in finding a terrific Kosher Italian Sparkling wine for my wedding. It was wonderful - and not run of the mill. he got it from a small wholesaler in Chicago. He didn't pay more than $14 per bottle - This was over 4 years ago... but it was great! Let me know if you need the name, and I'll find it for you.
It is of course all relative to what you consider expensive and also whether or not you need it to be Mevushal.
"Real" champagne that is kosher is in the $30 - $70 price range.
Yarden in Israel makes a Blanc de' Blanc which is excellent and you can buy it by the case for (probably) less than $25/bottle. Also available is a Brut from Hagafen which is very good.
If you want to go lower in price, you can look at some of the Italian sparkling wines. Sorry none come to mind now, but there are some good ones.