A toy doesn't need to be expensive to be beneficial for infant development.
It takes babies several months to realize an object that's covered up by another object still exists. That being the case, the "peek-a-boo" game must seem like pure sorcery, with objects vanishing and then reappearing out of thin air. Over time, babies will learn the concept of object permanence.
You can help your infant learn this concept by playing with scarves. Scarves are inexpensive and easily obtained or made -- you can even take a pair of scissors to an old shirt or towel if need be. However, thin, sheer scarves that allow you to see through them will be best in the beginning since your little one will still be able to see the object that's hidden beneath.
You can also help develop a baby's hand-eye coordination by fluttering a scarf above him. Allow the little one to reach for the scarf, and give just the slightest resistance once he's successfully grabbed the scarf to help your infant develop the ability to grasp objects.
Next: It's about the container, not the cargo.