Splenda is the brand name of Sucralose, which is a modification of Sucrose (commom sugar).
To me, it is the best non-caloric sweetner.

You can buy Sucralose much cheaper than Splenda. It can be bought at Costco or Amazon

http://www.amazon.com/EZ-Sweetz-2oz-.../dp/B002MO765O

Splenda has some cellulose in its formula so that it could have an equivalent volume as sugar, but this interferes with cooking.
Pure Sucralose also has different properties for cooking than sugar: it does not retains liquids the same way sugar do, nor gives "viscosity" to the preparation.
If you buy pure Sucralose, you can try to compensate for some of these differences with some thickener, such as Xanthan or Guar gum (both vegetable extracts, widely use on cooking).