I bought a foil blanket for £1.50, some sensory scarfs in different colours, tissue box, some crinkle squares, bubbles, glow sticks (£1), a box of vegetables (carrot, parsnip, potato and leek - for smell, temperature, colour, texture). I played calming music on my phone, some sensory board books with different textures to feel, my fluffy slippers, a set of stackable cardboard boxes, some wooden maracas and bells. Her absolute favourite thing is a orange bottle (the PRIME energy drink). I arrange it in her play pen and let her explore (not everything at the same time though!)
Other things ..Anything with a mirror/where they can see their reflection. They do some led baby friendly lights in Amazon and also some light up maracas (watch out for batteries though). You could get a lava lamp or some other kind of sensory light for them to watch if you wanted to make if fancy.
I honestly don't think the expensive stuff is worth it at all. Even just putting their hands on the cool window, feeling the difference between the carpet and hard floor, feeling different fabrics on your clothes (just open the wardrobe door and let them touch everything).
I think as parents (I am guilty of this too) we often look for sensory toys that are a bit different, but we forget that EVERYTHING for a baby is new and exciting. I gave mine a wooden spoon and she sat there and played with it for 20 mins, just working out what it was and what she could do with it.
I go to baby groups too and they are great but generally I find there is so much stuff babies don't know where to look. Mine will pick up a toy drop it and go to another before shes had time to learn about it. Im not an expert but it can't be good for attention span.
In total I spent about £30 on 'sensory toys' and she has more than enough.