Baby car seats are one of the most intimidating products to buy, and prices vary widely. Here is what I considered when I got mine:
The most important factor is safety. Check out Consumer Reports for ratings, and also check the Consumer Product Safety Commission. Both have good information on baby products.
Then go look at them in the stores. One thing that I think it less important than everyone seems to think is the weight of the car seat. The reason I say it's not so important is that they vary by only about 2 pounds. No matter how light it is, carrying it off to your side is awkward and uncomfortable. For that reason, I quickly moved my baby into a baby carrier like Ergo or Beco, and we were both happy.
Don't be obsessed with how high the weight limit goes on the car seat because, odds are, you will move up to a convertible car seat long before your baby gets near the weight limit. I had to move my baby into a convertible car seat at 6 months old--not because of his weight! He got too tall for the infant car seat. Once your baby's head is within 1 inch of the top of the seat, you should move to a bigger seat. For that reason, you might consider buying both an infant seat and a convertible seat at the same time and asking for a discount.
Style was not important to me with the baby car seat because I figured he'd be using it for only a year at most. I cared more about the style of the convertible car seat. If you can overlook some less popular patterns, you can usually find a better sale price.
If you're borrowing a car seat or buying a used one, just be sure it's not more than 4 years old. Car seats get a lot of sun exposure, and the sun gradually weakens the plastic. It may look just fine, but don't compromise on safety with an old car seat.
Read the instructions on installation carefully, and then go to your local police department to have them check it out. I installed the first seat wrong, but they had a safety officer check it at the hospital before I ever put the baby in it.