Well, they'll all do the job. My #1 factors are size, satellite reception, and fast and non-buggy software. Don't get carried away with features, the basic features that all of them have are still the most useful. I bought my dad a Garmin 60csx a while ago, it is a very good unit and blows anything else I've seen out of the water. The Etrex line is pretty good, my brother has one and I like it enough, the reception is iffy though. Reception is iffy on my old Magellan and my uncle's DeLorme as well.
Maps: Get one with a topo map. Sometimes you gotta pay extra. When researching, make sure you take that into account, the map can be nearly as much as the unit. Most of them use only their type of maps, for instance with Garmin units you gotta buy the Garmin maps.
Software: I've used one of the Delorme Earthmates, and it was buggy as heck and took forever to navigate the screens. It sucks to be hunting, fishing, or hiking and spending time instead playing with some stupid electronic device. That was a while ago so maybe they've improved, but I won't buy one that I can't pull out and play with at the store, so I stay away from bubble packs and the like.
Reception: I think I consider this the #1 factor. For wintertime or open skies, they all do fine, but the weaker antennas take longer. In tree cover, the weak antenna's may not get coverage at all and the best antennas will still be pretty quick. This might be fairly old data, as I haven't been in the market for a while, but do yourself a favor and check out the antenna specs. The SiRF antennas are excellent. Internal patch antennas kind of suck, or at least they used to. It really sucks to be still waiting to get reception when you could have been half way there by now.
Batteries: These things eat batteries like cameras do, maybe worse. Get yourself 2 GOOD pair of NiMh rechargables, not just the cheapest ones you find at Walmart, and a charger. Rechargable batteries say their capacity on them (maH) and some are more than others, get ones at 2500 maH or better. The new hybrid NiMh look good but I haven't tried them. The advantage looks to be that they don't self discharge, as NiMH will do with time and thus its important to make sure they're freshly charged.
Features: They all can store plenty of waypoints, tell you what direction and how far, track distances travelled, etc. No real big differences here. A big, color screen is nice but pricy. The electronic compass is nice, as it tells you the right direction when standing still. The ones without this feature don't know what direction is what unless you are walking, so you have to move to get it to orient itself. Annoying, but whether its worth the money is up to you. Most of the other features, IMO, are pretty useless. Some of the models advertise weather reports and even satellite pictures, I've never used this. It sounds useful if it works right, but make sure the reviews say that it works and that you don't have to pay a monthly fee or soemthing.
Size: This is important, some of these things are pretty big. I want something I can throw in a pocket or on a belt. If its so big you have to put it in a pack, its not going to be all that useful.
The new trend seems to be for people to navigate cities on foot. Stay away from these for outdoor use. Things like touch screens have no place in rugged outdoor use.