First two things I'd recommend. First, decide how big of a safe you think you'll need then add at least 20% Second, decide how much you want to spend, then add 20%
Then comes the particulars. If you know exactly where you'll be putting your new safe once you get it, decide whether you need one with internal or external hinges. Internal hinges will only allow the door to open 90 degrees where as external hinges will let you open the door at least 180 degrees. Where I have my safe located at in our house, I wish mine had external hinges.
When you are comparing them to one another don't only look at price and size. Fire rating is obviously important but I look at what they weigh. Typically, the better safes will weigh substantially more, for a given size, than will the cheaper safes.
I would also recommend looking at A LOT of different safes, ask lots of questions and do your research. I'm sure a ton of people on this forum have safes so once you start looking at them and have questions, this place will probably be as good a source as any, for answers. I always like to asks questions from people who AREN'T trying to sell me something, too.