Features to look for:
1. Handheld - A shower head just sticking out of the wall is great for washing your hair, but it's lousy for shaving, thorough rinsing, or for getting in all those nooks and crannies. (As for male or female perspective, both genders have their share of nooks and crannies, albeit in different ratios.)
2. Silicone Jets - If you live in an area with relatively hard water, or if your current shower head has a scaly buildup on the shower jets, then get one with silicone, rubberized jets. Scaly deposits don't build up on these, making maintenance and cleanup a lot easier, and maximizing the life of the fixture.
3. Ergonomic Controls - If you want a shower head with lots of features, they should be easy to use. Forget the little, plastic, nubby dials that you have to depress and turn with your thumb. When you're wet and covered with soap, using these dials is about as easy as nailing jelly to a wall. Pick a unit with a large, rubberized, controls.
4. Build Quality - I know its obvious, but get one that's not cheaply built. Unfortunately, that's not as easy as it sounds, because it's nearly impossible to get one that's not made primarily out of plastic. It helps a lot if you get to play with a display model before you buy. Fiddle with the controls, and see if they feel solid. Some units are actually quite bad, feeling as if the inner workings are held together by paper clips and rubber bands.
5. High-Flow vs. High-Pressure - Decide if you want a high-flow or high-pressure system. A high-pressure system is probably best for cleaning, but a high-flow system is a lot more soothing and enjoyable. Pick a high-flow system if you like to enjoy your shower or if you intend to use the massage feature frequently.
6. Gimmicks - Depending on what you want, gimmicks could be a good thing, or a bad thing. Just make sure that if you buy a geeky shower head, the myriad of controls won't break off in your wet hands.
I settled for an Ondine/Rio handheld shower massage. It has all the features above (but it's not gimmicky), plus it's shower face is actually made of metal (though the rest of the body is chromed plastic). Its control ring feels supremely solid, it has silicone water jets that never clog up or spray in weird directions, and the shower massage feels really good after a day of laying flagstone in the back yard.
You can see a picture and description of it
here. My unit is the one on the bottom.
I considered the Grohe units after reading good testimonials, but they were a little too gimmicky for my taste, and they felt really cheap and clunky in my hands. The controls of the Grohe units looked like they'd break off after two weeks of use. They may be great units, but I tend to avoid buying things that rattle that I don't think should.
I'm happy with the Ondine/Rio unit I got, but I'm certainly open to other suggestions, so I'm eager to see where this thread goes.