I think the response to this question heavily depends on your location. If you live inside the US, it will be easier to get some brands over others, but off course there is always the World Wide Web with worldwide shipping…
Xiaomi Aqara sensors (you can buy them on aliexpress) are very cheap, but sometimes picky when selecting a router. There are temperature/humidity sensors, door sensors, window sensors, and even some fancy remotes, and most of them cost less than 15 USD a piece.
Innr also offers great value for the money. The SP120 plug is one of my favourites, it has power metering but unfortunately it is discontinued (and replaced by the SP220, which has support for Zigbee 3 but no power metering). However, recently Xiaomi also introduced some smart plugs, with power metering AND Zigbee 3.0, and I have currently one of those in my network and it works quite well so I plan on ordering more of these in the future.
For lightbulbs, Philips Hue has the best lightbulbs, but at a quite high price. As an alternative, you can go the Ikea route or buy some Innr bulbs. However, if you go for Hue, I would stick to the official Hue bridge (for the lightbulbs, all other stuff can go into your zigbee2mqtt network).
For a smart thermostat: it all depends on your boiler. If your boiler supports opentherm, the nest thermostat is still a very popular pick. Note however that most thermostats are WiFi-based, not Zigbee-based, so this has nothing to do with zigbee2mqtt.