For me, the key thing to consider in a delay is the colour of the repeats. In some pedals these are full-spectrum and almost identical to the input. In others they are noticeably darker. Some pedals might do both.
Personally I like the darker ones. The softer sound tends not to fight for space with the main signal, adding a background ambient layer. The Mad Professor Deep Blue Delay is right up my street.
Another neat feature some pedals have is modulation eg the Way Huge Supa Puss or the Strymon El Capistan (which can also function as a basic looper).
If you plan to use the pedal for recording you might want stereo outs and maybe even a splitter so you can record wet & dry to separate channels for maximum control when you're mixing.
The important thing is just to get a pedal and play though
A volume pedal plus a long delay can produce some amazing, lush sounds.