First of all, you will need to pick out the type of shower head that you want. There are wall-mounted, ceiling-mounted and hand-held varieties available, so you should think about where you like the water to be coming from and how much flexibility you want to have in that. Some people definitely prefer hand-held shower heads, but for others it is simply a wasted feature.
When you go to buy a shower head, it is also important to have a budget range firmly in your mind. There are so many features available on some of the top of the line models that it can be very tempting to go all out. Be sure that you really consider how likely you are to make use of all of those features before you go and spend the money on them.
The number of controls that your shower has is another item that you will have to consider. The types of controls you need will depend to a certain extent on the water pressure situation in your house and the availability of hot and cold water. For instance, if your shower is susceptible to losing cold or hot water when someone turns it on elsewhere, you will want a shower head that can compensate for that. If that is not an issue for you, however, there is no reason to spend the money for that particular feature.
While you certainly have many feature-based decisions to make when it comes to picking out your new shower valves and fixtures, do not forget to consider aesthetics as well. The look of your new shower matters too and there are so many different fixture styles and finishes that you should have no problem finding one that suits your sense of style.