As for the peppercorns, yes there is a huge difference in quality to be found, just as with any spice. peppercorns contain oils that give it its flavor. The older the peppercorn, the less potent the oils are. Here
is the Penzys page on peppercorns which will give you some info.
As for the grinder, there are quality grinders and cheaper grinders. For the most part, you get what you pay for with peppermills from my experience. I have never tried the Magnums, but have heard excellent things about them. There is another great name in pepper mills that makes wood ones, but the name escapes me right now.
A very popular, easy to find, and quality pepper mill maker is William Bound. Bound makes wooden ones as well as plastic and metal.
Yes consistancy can change with the lesser mills.