The most important aspect of sleeves is of course size. If the sleeves are to small then obviously your cards won't fit. But the sleeves being to big can also have a number of negative consequences:
- sleeves can get in the way during suffling
- harder to nicely stack the cards
Probably most common are the sizes for the dimensions used in trading card games but there's also an increasing selection for board and cardgames.
Next on the list is thickness and rigidity. While thinner sleeves tend to be cheaper too they will also be a bit harder to shuffle and offer somewhat less protection. If you play on clean tables that's not an issue but rougher surfaces (i.e. outdoor) can wear through the thin sleeves faster.
Finally there are many designs to choose from - especially among the more common sizes used for ccg's. Anything from a clear plastic on both sides, over single colored backs to elaborate patters and themes can be found. Sleeves with simple opaque backs are favored in tournaments because they make it harder to mark cards.
As a small addition I'd like to point out that shuffling with sleeved cards can be very different from what you are used to. Stripping can be difficult because some sleeves tend to cling to each other. Standard riffle shuffle is also harder because the sleeves do not grant the same fine control over the cards. Probably the easiest way to shuffle is by separating the deck in two stacks and pushing the corner of one stack into the side of the other. If the sleeves are sufficiently rigid it will be very easy to slide them together producing the equivalent of an almost perfect riffle shuffle.