A good starting place for info about the readers:
https://wiki.mobileread.com/wiki/E-book_Reader_Matrix
If you plan to read a lot of A4/letter sized pdfs: get the biggest screen, you might even be better off with a laptop/netbook. The idea of eReaders lies in the screen-type(no backight).
What feature is important is highly personal. But i guess Screen quality is usually at the top of the list.
I'd suggest you go read reviews and user opinions for each reader you're interested in, browse a bit in the shops, download a few free books, and look at alot of pictures. Postponing the buy so you can make an educated/informed choice isn't a bad idea either imo.