If this is your first embroidery machine, you may not really know what functions you'd like in a machine. Some machines are embroidery only and others are embroidery/sewing combo. If you have a friend who does machine embroidery, you might ask if you can watch her use her machine and ask what she likes in a machine. You have to remember that you'll need embroidery thread (either rayon or poly), embroidery needles, and a variety of stabilizers, purchase designs, and hoops. If a machine only has one hoop that goes with it, often it costs extra to get a different size hoop. I usually sew designs that are 4x4 or 5x7, however, there are bigger hoops that are nice to have too. So you'll need to have some money for that too.
I prefer machines that have a bobbin under the machine. That way I don't have to move the project if the bobbin runs out of thread. Don't be afraid to buy a used machine if your dealer has one and guarantees that it works correctly. Quite often people who own a perfectly good machine will trade in their old machine just to get the newer model. One of the most important things to keep in mind is that if you don't buy from a dealer that seems willing to help you along the way, or let you phone if you have a problem, and is eager to give you support as you learn, and give classes, you'll be sorry. There's a lot to learn with these machines and being able to get help when you need it is important. If it is a toss up between two machines, go with the dealer who you think will provide you better service.
Do some research online to get an idea as to what is out there. Some websites have charts that compare one machine to another and lists all the functions in that line.
I really love machine embroidery and am looking forward to the day I feel confident about incorporating it into my quilting.