The simple answer is what do you ACTUALLY want to do with it and how often ?
Basic accuracy is pretty much the same across all reputable units - so thats' simple.
Some have a "free air" calibration facility which is cool but these usually require a PC connection which some don't have.
They all seem to use Bosch or ND sensors - Bosch are the most common.
Remember to check if the sensor is supplied with the product - some do, some don't
How is it mounted ? if your going to stick it in the tailpipe the you need to make up a tube /bung / clamp assembly and it needs to go as far as possible up the tailpipe to prevent dilution by ambient air ( a real issue ). Make sure the sensor loom is long enough if its a tailpipe mount.
If your going to permanently mount it then where / how - dashboard needs pretty
Some have narrowband emulator outputs - you pull out your narrowband, replace it with the wideband and connect the emulator output on the box back to the old narrowband connection. This is good for permanent installations.
Some have onboard temperature / voltage /rpm facilities that can output via a serial cable to a computer. Some have useable free software others don't.
Some have onboard logging memory - you press a button and it starts recording data for later playback on a PC. More memory more $$
So its a "piece of string" answer - if you just want basic A/F then any reputable brand will do. If you want more thenit gets more complex and probably is a person by person decision.
Both Darren and I have built and use TechEdge units with the works - you can buy them assembled. We have compared them with Motec, Bosch infra Red and $500K+ lab analysers and they are as accurate as a cheap production sensor can be ( good ).
Once you go for a unit with PC interface you can get some good visual tools for both realtime and stored data