having bought a machine when first starting quilting and not really having much of an idea, I would recommend you get a machine with the biggest throat space that you can find..that would be my number one pick as it is a pain trying to quilt a quilt and fighting with the machine to get your quilt into the right position. Needle up/down is second and I use that all the time and would not be without it. I also use my threadcutter on the side and I do love that and miss it when using my other machine. I also love my walking foot even though it isnt built in and check what feet you get thrown in as my walking foot cost me $150 (aussie dollars)
As to fancy stitches I find that you can manage without, it depends on what you want to do. There are lots of other features too which everyone else has mentioned and which are good to have but you have to decide what features you need the most. i wish my machine had a warning that the bobbin thread was low...
My best advice to you is to go to different shops and try the machines out. If the shop isnt helpful then go elsewhere because if they dont help you now they never will! Buy from a dealer and take lessons if buying new to fully get the most out of your machine. Buying from a dealer and taking lessons from them as well will get you familiar with them and when your machine needs a service they will look after you. Take some fabric with you both thick and thin as some machines do not like to sew over joins and in quilting some seams are sometimes bulky. Maybe an older machine might be better too as some of them are made of metal and are real workhorses. A lot of the newer ones are so plasticky.
Also computerised machines cost more to service (something I never realised) so check that out before parting with your hard earned cash. Let us know what you decide! Above all dont rush into anything!!