A grounded thermocouple means that the tip of the thermocouple wire is physically attached to the interior of the outer sheath. That provides for a faster response time.
Also, not all PIDs, temperature displays, temperature controllers, etc., take all types of thermocouples. Some don't even use a typical thermocouple, they use a thermistor, a Negative Temperature Coefficient (NTC) type probe.
I have 2 controllers that work with NTC devices, a couple that will only accept J type, and one that will accept type J or K.
So, make sure you know exactly what you need when buying thermocouples.
As for price, you get what you pay for. Grounded types, with a stainless steel sheath, tend to be more expensive. Ungrounded types are less expensive, but lack in response time. Really inexpensive types, will probably take in moisture and need to be replaced on a regular basis.