What will you use the headlamp for? If you're using the headlamp to illuminate a climbing route or the road in front of your bike, you need a bright, far-reaching beam. Bright headlamps are also useful for hiking or backpacking in the dark, although you should have a low light or red light mode too. For runners, a combination of light weight, secure fit and brightness is the most important thing to consider. Finally, if you're just using the headlamp around the campfire or as an emergency backup on short hikes close to home, a cheaper, lightweight model without a lot of bells and whistles should suit your needs just fine.
If you plan more extreme adventures, look closer. If you're climbing, caving or taking long-distance nighttime runs, you'll want a brighter, waterproof headlamp with an adjustable beam. Ideally you should be able to dim it, adjust it from a focus beam to a wide beam, and have a "boost" mode that focuses an intense beam for a short period of time.
Will you use it as an emergency beacon? Any headlamp can be used to signal in an emergency situation, but a "strobe" mode comes in especially handy for making yourself visible. This mode is also handy for runners or cyclists that spend a lot of time near the road.
Will you be using your headlamp in cold weather? If so, look for a push-button model that can be easily operated while you're wearing gloves.
Look at beam distance, not just lumens. Brightness is an important measure of a headlamp's worth, but it isn't necessarily the be-all, end-all feature. An even, far-reaching beam is more important than the sheer amount of light you get.
Brightest isn't always best. An overly bright headlamp can be annoying if all you want to do is read a book in your tent or find your shoes while your campmates sleep. Super-bright headlamps also tend to use battery sizes that may be hard to find, and go through batteries quickly even in low-light mode.
Have you considered a rechargeable headlamp? If you use your headlamp a lot, a rechargeable model can save you a lot of money in battery costs. However, the advantage of having a headlamp powered by disposable batteries is that you can quickly and easily swap the batteries out if one set runs down while in the field. Some rechargeable headlamps come with a spare battery pack to give you the same effect, or allow you to swap in disposable batteries when the rechargeable battery runs down.