It depends on what you're looking for and what you want out of it (don't forget cost too). IMO A good bar will require to do some drilling. What you really need to look out for when choosing a pull up bar is that it must be at least 1 inch thick which gives you a better grip. Anything thicker and it'll require you to squeeze harder and make it harder for you to hang longer. Only go for very thick bars if you're pretty advance in pull ups and want to work your forearm harder.

Most pullup bars that are hung on the door frame are usually light, i heard that it may bend in the center if you're too heavy (mine hasn't yet). These type of bars are usually less then 1 inch thick and are only 1 inch due to the foam wrap. It's fine for a temporary bar but eventually the foam will get thinner from all the squeezing. One thing good about bars that hang on to door frame is that the bar has attachments for you to work on a neutral hand position also. A good one to look out for is the P90x pull up bar (expensive though)

The single bar that you drill into the door frame in cheaper than those that you hang. They are mostly an inch thick which allows you to have a good grip. Since it's a basic single bar you'll mostly be doing mostly the basics which is fine for most people who want to just get up and down.

Wall pull up bars are a little more expensive and require you to not only find space to attach it but also requires you to drill into the wall which not many people are willing to do. It also double up as a place for you to hang your clothes.

Finally pull up stations are the most expensive of them all. Good ones don't just let you do pull ups they also act as a dipping station too, so it's like a 2 in 1. These stations are big and do take out a lot of space.