Colour, texture. Some are a little drying.

It's good to have an idea on the type of colours that you like. After that, just pick a finish that's suitable for your lips, whether it's:

matte - deep colours with no shine, and usually the longest-lasting among all
satin - gloss and shiny finish for sexy look, but not long-lasting and limited coverage
shimmer - light colours that look good under artificial light - great for special occasions