I do not claim to have the ultimate answer and at the end each person will have her own preferences, but here are some guidelines on what to consider when chosing a siddur (prayer book). Add your own in the comments!
- Nusach: The first question is which nusach (something like prayer tradition?) you want/need. You will usually want to get a siddur that matches the nusach of the place where you usually pray. Otherwise you will have difficulties to follow, as the differences between the different nusachim can be large, e.g., Sefardim read shir haShirim (the song of songs) on Friday evenings, Ashkenazim don’t. The nusach is usually indicated on the title or the first page of a siddur.
- Translation: The next question is whether the siddur should contain a translation at all or whether it will be all-Hebrew. Or text in Hebrew but directions in a different language. I’ve seed a few weird siddurim that are "mostly" translated, e.g., kabbalat shabat has "bameh madlikin" without translation. In my opinion there is no good reason for this in the age of cheap paper and I’d not buy such a siddur. If there is a translation, every word of the prayer should be translated.
- Transliteration: Many people don’t want transliteration at all. For the others, do you want it for the whole text, or only the passages that are said aloud? This probably comes down to your ability to read Hebrew, but I’d say try to get it for the complete text, as customs vary on what is said aloud.
- Position of the translation and transliteration: The usual placement is Hebrew right, translation left, side-by-side. But you can have the text side-by-side on opposite pages or at the left/right of each page. When transliteration is added, usually you’d have the transliteration side-by-side with the Hebrew and the translation below. Sometimes there are three columns, Hebrew, transliteration and translation. No matter which, if you are not perfect in Hebrew, you will want to skip between Hebrew and transliteration/translation and the easier that is, the better. Pay attention to the line breaks, are they at identical places? Are the lines matched side-by-side or are lines closer together on one side making it impossible to find the lines that correspond to each other? If this is the case, can you at least find corresponding paragraphs and are page breaks the same?
- Directions: By this I mean insertions like "stand here" or "read only on chol haMoed". These direction can be in Hebrew or translation on the Hebrew side. They can be very extensive and cover every movement like standing, sitting, bowing, covering your eyes, the prayer leader reads aloud starting from here, etc. Or just the basic reminders of what to say at which special day. This is a question of personal taste, but be aware that extensive directions usually rely on one specific custom and there are many customs. So your community may not always do what your siddur says. But still, directions can be a huge help to feel more comfortable in the service and also to find your place (where’s the next "stand up"… ah, here we are at the moment!).
- Markup: It is quite common that insertions for special days (shabat, holidays) are printed in a box with a gray background which makes them easily recognizable. Is there such kind of markup? Are there different types for different special days such as shabat vs. holidays?
- Commentary: Some people like to have lots of commentary to get interesting input and explanations for their prayers, others don’t want to be sidetracked. A matter of taste. But if you are getting a siddur with commentary, read a bit, make sure you like the general direction. Nobody wants to get annoyed at the commentary during prayer.
- Font: There are many easy-to-read Hebrew font sizes available, so there is no excuse for a new siddur to use a font where you cannot distinguish letters. There should be vocalization. The font size should be to your liking, both in Hebrew and translation/transliteration.
- Text flow: An afterthought that really should go without saying. The text of all prayers should be in the siddur in the order that it is prayed! If a prayer is repeated, print it again (with the possible exception of the amidah, as it is repeated right away). My community has a truly horrible siddur where mincha is just a list of "check page X from shacharit" and you spend all your time going from page 63 to 41 back to 65 and so on. Again, paper is cheap nowadays!
- Occasion: A final thought concerns the question of "what you want the siddur for". In my community we have quite a few siddurim that are only for shabat, because this is the only time they are needed. It reduces confusion for many people and they are very beginner-friendly and clear. But I accidentally took one of these to a conference once and had to piece together stuff from the shabat services for weekday prayers. Which sort-of works if you know what you are doing, but is really annoying. My favourite siddur includes everything, weekday, shabat and the special prayers for the shalosh regalim (pilgrim festivals), so that I can use it on every day of the year except rosh haShana and yom kippur. But of course it is a much bigger book than the shabat-only one.
I hope you are not overwhelmed by this list, it got way longer than I thought it would. But in the end, I think the best thing you can do is go to your community, have a look at everything they have there and decide on the one you like best. You can always later buy another one. Most siddurim are not that expensive. And sometimes it is very convenient to have the same siddur as everybody else and to be able to follow instructions for page numbers, even if it is not your favourite siddur.