My friend enjoyed playing at The Oaks Golf Club (about 20 mins from Diamondhead)
Shell Landing is a good course, but I think it runs around $80.
Grand Bear in Biloxi is a solid course (Jack Nicklaus design). It's pricier, but the price on their site includes a golf cart. If you walk, maybe it's cheaper.
If you wanna blow your wad (money!) on one course instead of a couple, check out Fallen Oaks (http://www.fallenoak.com/)
Check out this site here http://www.golfcoast.com/
They'll list all the courses on the coast, with some reviews/pics/links and maybe some prices (or at least, links to prices)