Well, the Sigma 70-200mm f/2.8 is hundreds of dollars cheaper than the Canon 70-200mm f/2.8 L, and is generally regarded as just as good.
The Sigma 70-300mm APO DG blows away any and all telezooms for that price, or even for double that price. For $170 you get a lens that is amazingly high in quality (for that price). The Canon alternatives are not regarded anywhere near as highly.
And yet, there's more. Sigma's 30mm f/1.4 is well loved by many on these forums. The Sigma 10-20mm is almost as good as the Canon 10-22mm... at over $200 less.
The Sigmonster (Sigma 50-500mm) is untouched by anything even remotely within it's pricing zipcode.
Sigma's 24-70mm f/2.8 is called the "L killer" because it performs at or above the Canon 24-70mm f/2.8 L ... at about 1/3rd the cost of the Canon alternative.
Same story for the Sigma 15mm fisheye, and the 8mm fisheye has no Canon equivalent.
And all of these examples are only from the Sigma camp. There is still Tamron and Tokina to think about.
So yeah... there are some good 3rd party lenses out there.