Cost — How much do you want to spend on this machine? Do you want an espresso maker in addition to a coffee maker? Do you already have a coffee maker and want to supplement your appliance collection with an espresso maker? Or, do you want to upgrade and modernize your kitchen with a dual machine, maybe one with many convenient features? Consider that fancier, higher-end machines will cost more, but probably yield a better tasting cup of coffee. If the taste of your coffee isn't all that important to you - all you need is that caffeine fix - then a less expensive model will suffice.
Capacity — How much coffee do you need to make? Consider how many coffee drinkers are in your house and how often you entertain guests who drink coffee. Capacity is measured in cups. This does not always mean the standard 8 ounces — it can mean 6 ounces per mug of coffee or 2-3 ounces per shot of espresso. Read the box carefully to see what they mean by "cup".
Type of brew — Again, what type of coffee do you like to drink? Are you a traditional, cup-of-joe person or do you like the variety of espressos, lattes, cappuccinos, and mochas? Most espresso makers come with the steam wand or frothing dispenser ensuring the ability to make those other fancy drinks.
Features — what features do you want? Read through the list of features and write down the ones you think most exciting. Record them in order of most desired/needed to least desired/needed. Then you can go to the store with a clear head and find the machine with most of the features that you really want instead of buying the machine that you think looks the prettiest (too often the latter is what I do).