to me this depends on whether you are after a pram (usually larger, able to recline the child and designed to be used from birth). There are a *lot* to choose from. My personal things to look for would be:
1. weight - the difference between an 8kg and a 13kg might not sound like much but when you are putting it into the car a lot this becomes important.
2. manouverability - we ended up buying a 3 wheeler "jogger" type because the are really really easy to push and move around.
3. reclining - ours actually reclines completely flat, which is good for when they are really little, but also allows you to set it up so your toddler is also sitting up for when they are older
4. storage - you will use this all the time.
5. price - you still have to find something that fits in your budget - from my recollection as weight went down, price went up...
6. are you thinking of having more than one? Does the pram you are looking at have a "second child" attachment?
or whether you want a stroller (usually really small, really lightweight). My wife just bought our second one of these as the first one didn't recline at all - this is important (or so she says) when the toddler (our son is 18 months) is ready for nap time, but they are still on the move.
Personally, I prefer to use the pram more often than not. Even though the stroller is half the weight of the pram and takes up much less space in the car boot (trunk for all the Americans
), the manouverability is crap (as the wheels are half the diameter of the pram ones). If we are going away, we are much more likely to take the stroller, though (or the backpack for that matter).
As mal said - you have to try before you buy - when doing so, take a "baby" sized thing of the right weight with you to the store (big bag of rice etc.), so you can see what it drives like with a load onboard.
edit - forgot to mention carseats - we hired the baby capsule (0-3 months) - it cost a small amount for an item we wouldn't get a lot of use out of.