I have used Capilano honey, a supermarket's own brand, the north Queensland rainforest honey, a local professional apiarist's honey and that from a friend who is an amateur apiarist. The latter had small quantities of bee parts in it.
I used to tell myself that the supermarket honeys would be more likely to be 'sanitary' due to likely being heat-treated. I've read that honey has all sorts of anti-microbial qualities, but I make no claim...
I tend to add boiling (or recently boiled) water to my meads in the primary fermenter (plastic fresh wort cuboid), which should provide some sort of pasteurisation as I then leave the wort/wash/must to cool overnight before heaving the yeast in.
I am yet to make a honey-only mead; I rely on spices, fruits and stuff to add flavour (in the next few days, I will be doing something with 8kg honey, some raw organic coca nibs, organic coconut, frozen cherries and maple syrup). My only truly sus batch is one made from fresh plums I pulled from my tree and froze for a few weeks. It might be okay in a few months... time will tell.
I think that there will be subtle differences between the variously priced honeys and for the first few batches, cheap/easy to get is probably a fine way to decide what to buy.