Wear a $10 helmet if you have a $10 head...
Well there is only a little truth in that, the more expensive helmet will often be more comfortable, lighter, and will offer more protection, but even the cheapest DOT approved helmet will prevent over 90% of the blows that would be fatal if you were not wearing a helmet.
By all means wear a quality helmet, but the difference in protection between a $500 helmet and a $100 helmet is not 5 times greater. Realistically, you would be better off with the $100 helmet and the other $400 invested in boots, Kevlar jeans, jacket with chest and back protection and gloves.
And if you think it can't be done for $500 just check competition accesories.com, leather up, or CycleGear off the top of my head.