Have a look on Which?, or look at the mag this month - they've just run a test on carseats. (website costs £1 for trial sub, you should be able to see the mag in your local library, or else have a look in WHSmiths)
There IS a difference. They've even got a video showing the different seats in a car crash. In one of the crashes, the crash test dummy came right out of the carseat... They list about 30 best buys and a few Do Not Buys. The worst ones are those with no side impact protection - they all pass the British standards test, which only tests head-on collisions, but if someone came out of a side road and hit the car sideways on, some of the seats offer no protection at all. Other seats don't give the baby much support so his head/neck rolls around too much.
As for the extra bits such as sunshades or raincovers, it really depends on how you use the carseat. If you're using it just as a carseat, then you probably won't use them at all. If you've bought a travel system, especially one in which the seat clips straight onto the chassis (a couple of the M&P ones, a Silver Cross one, a Quinny and a couple of others I've seen), then you might well need them. We've bought a travel system with the intention of taking just the carseat and the chassis when we visit friends, and using the carseat as pram/pushchair whilst the baby's small.