Look at a bunch of them on the internet and decide which features are important to you.
If you get toy attachments, it provides a place for baby to safely play while you cook dinner, but do you really want to clean snack goo out of all those little holes and cracks?
Do you need height adjustments? Will you ever get rid of the tray and push the chair up to the table? Do you ever feed in the living room while sitting on the couch?
Do you need the highchair to have wheels?
Be sure to get one with a wide stable base that will not tip over when baby climbs up on it.
I recommend you get a tray with a dishwasher safe liner so you are not constantly hand washing the big bulky tray.
Decide what type of seat material would work best for you. Cloth is more comfortable for baby, but harder to wash. Plastic wipes clean easily, but will still stain with colored frosting and tomato sauces.
Do you need a highchair to fold up easily, or to store flat? Or will it always be set up?
Do you have an overly active baby that will need shoulder straps?
Will you keep baby in the highchair until age 2-3? Or will you want to switch to a booster seat around 18 months or so?
Would you prefer a stand alone highchair? or would you prefer a chair top one that sits in your existing chairs?
Be sure to pay attention to weight limits if you have a bigger baby.