There are several different qualities you want from a cookie sheet... stiffness and lightness for ease of handling; evenness of heat, so all cookies cook at the same rate; and easy removal from the sheet when the baking is done.
All-Clad Baking Sheets are the Rolls Royce... they have a thick stainless steel - aluminum - stainless steel construction like their other fine cookware, that offers very even heat and superior stiffness that does not warp, plus a highly polished surface that promotes easy release and cleanup. Lifetime warranty. $70
Amazon.com: All Clad Ovenware 10 Inch x 14 Inch Baking Sheet: Kitchen & Dining
Insulated baking sheets like AirBake by Wearever use an air layer between two metal sheets to even out the temperature, and give more stiffness than a single sheet. $15 - 25
Amazon.com: airbake baking sheet: Home & Kitchen
Good old fashioned single sheet pans are the least expensive, but are the least even in temperature and the most prone to warping. $5 - 10
Thunder Group - ALSP1813 18" x 13" Aluminum Sheet Pan
Then what about ease of release?
The time honored methods: to grease the sheet, grease and flour the sheet, or include enough fat in the dough that the cookie "self-greases." In each case, the cookie should not be allowed to cool on the sheet or it will stick. It needs to be removed to a cooling rack as soon as it is cool enough to hold its shape.
Modern techniques? Non-stick coatings. Not my favorite, because they do not brown as well as other methods, and once they get scratched up they lose their non-stick properties.
Sil-Pat and other silicone mats. Used as liners for baking sheets, not on their own, these promote easy release without grease, easy washup, and if handled carefully can be used more than 100 times. Fantastic. I'm a big fan. $20 - 50
Amazon.com: sil-pat baking sheet: Home & Kitchen
I don't use "cooking sprays" because of the mess they make with overspray, because I don't like breathing the propellant, and because their chemicals tend to build up on the cooking surfaces. A little solid coconut oil or butter or shortening on a scrap of paper towel or spread with my fingers does the job nicely.
Aluminum foil and parchment paper are alternatives to greasing the pan, but I don't like the waste, so today I'll use a silicone liner instead whenever possible.
BTW, if your cookies do stick because you let them cool too much, often a quick minute back in the oven will allow them to release again.