My two cents is that the cheap ones suck nuts. I tried over the years to make them work. They don't. A frozen deer turd will tip them over if they have much more than a sandwich loaded in them.
I have used two different types with success. One is an "Expedition Sled" that used to be sold at R.E.I. It was taller than the cheap ones, wider, with a flat bottom and had NO flex in it. It was long, though!
It's not currently at R.E.I. but here is what it is:
The next evolution came with this sled:
Ice Fishing Sled
Here it is packed with everything for a trip to the Tetons. It's not packed well and things are left willy-nilly to give the impression that I was prepared with all the correct gear.
I have made some mods on it. I added gromets down the side to spiderweb the gear in. Also they act as a stronger attatchment point for ridgid poles. There are "fins" made from 1X1 angle aluminum that I can attach to keep it from sliding on moderate sidehills. I also did this for tacking in the wind since at SOME point I will kite-ski with it. It's a good size because I have a 40L and a 60L pack that fits down in it perfectly and you can wear it like a backpack with your touring pack on your front or strapped to the top. I skied out of the bush on Moran that way.
If you are into building a sled a recommended read is this:
Lot's of good ideas. But if you really want to haul on a sled, then you'll need to borrow one of Heath's sleds:
How's the skiing over there, by the way?