I think the more expensive jackets have either more technical fabrics, more features or (unfortunately) a more popular label. A shell is basically a type of jacket. There are cycling jackets that have linings, but I've never owned one. I'd rather control what level of warmth I need with my clothing underneath the jacket.

Any shell/jacket should cut the wind (if it's not a knit material). I started with a $19 super thin shell from performance that I used over wool or polypro long sleeve shirts my first winter (I was in NC where 'cold' was in the 30's). The second year, I upgraded to a slightly more substantial jacket that had removeable sleeves. This gave me more temperature controlling options. This past year, I bought a more expensive Showers Pass rain jacket. It's actually bigger than my other jackets, so it gets worn when it's REALLY cold and I need lots of layers underneath. It's also waterproof (where my others are only water resistant), so it gets worn for real rain. Again, none of these have any type of warm lining.

There is one major advantage to cycling jackets over other windbreaking type shells (such as those worn for sailing or golf). Visibility. Every single one of my jackets has reflective piping and they are in bright colors. That's definitely a plus...particulalry in the dark winter! Running jackets would likely have some of those same features, so they could be good options as well.

Good luck on your hunt for the right clothing!