Between the three major islands, Guanaja is the most untouched and, consequently, by far the most expensive. Budget travel is only made possible by a high level of competition, so getting to and around Guanaja, as well as finding a place to crash, is far more expensive than the other two islands.
If you're traveling on a shoestring, your'e best bet is to head to Utila, which caters very well to budget backpackers. Dive certification prices on Utila are among the lowest in the world and Main Street is lined with affordable hostels.
It's possible to find budget accommodation on Roatan as well. But, the scene here is really more geared towards older, midrange travelers.