Every time I ski use cheap Ace brand knee braces, they are just elastic sleeves. What they do is support your quads, helping them burn less all day and protect your knee in a fall. I've taken 2 bad twisting falls in all my 36 years of skiing and both times I could feel the brace hold the knee together. Result, NO injury.
The cost starts around $12 a pair, very cheap insurance. I've never tried fancier, more expensive braces but would bet they offer more protection and support. Mine are so old they don't have the knee cap hole in them. They also keep your knees a little warmer. Try it!