When I still smoked, I used to roll my own quite often. Bali Shag or American Spirit most of the time. I liked the taste of rollies better, and yeah, they were cheap. They'd lower your voice by an octave within a couple weeks' time too.
I dunno about rolling up pipe tobacco though...I love the smell of that stuff, but it's not meant to be inhaled when smoked in a pipe. I also wouldn't sweat the papers too much, a lot of papers are meant for, uh, other purposes, and burn at a slower rate than cigarettes (so your cig goes out a lot more easily).