The most important thing to keep in mind while choosing a winch is how you'll be using it. You also need to keep in mind the weight and frame strength of the vehicle you want to mount the winch on. Buying a heavy-duty winch doesn't make a lot of sense if your vehicle isn't strong enough to use all of the winch's power. You also need to consider if you want an automatic or manual winch, and what kind of cable, wire or chain you want to use with the winch.
Unless you're a tow truck driver, you'll probably be using a winch for off-roading. A winch mounted on the front or rear bumper of an off-road vehicle can be used to pull that vehicle out of the mud (by attaching the cable or chain to a rock or tree) or it can pull other vehicles out of the mud. When buying a winch for off-roading, you need to buy one with an appropriate amount of power. This is the winch's line pull weighting -- the maximum load the winch can exert on the cable. If this number is too low, you won't be getting anything out of the mud. Also consider the winches weight. If a winch is too light, it won't be strong enough to pull heavy loads, but if it is too heavy, it could cause the front end of your off-road rig to be off balance. Finally, you'll need to decide between an electric or hydraulic winch; each type has its own benefits and setbacks.
To find the right winch for you, check out off-roading and four-wheel drive magazines. Most run articles comparing winches and many publish winches, hitches and towing accessories buying guides. If there's a four-wheel drive or off-roading club in your area, talk to their members about winches they've used and get their input. Finally, many companies make accessories like winches for specific types of off-road vehicles. You might be able to find a winch made just for your rig.