- What price range are you looking for?
- Do you need all regions, or just full NTSC & PAL (ie. North American and European) compatibility?
- Will you be using this player only for movies, or for music, mp3's, photos, etc. as well?
- Would you like video up-conversion?
- Would you prefer to use composite, s-video, component, or HDMI for your video connection?
Here is a decent guide to have a look at.
With a little more information we will be able to make some specific recommendations for you.