Here are a few things you should be on the lookout for:
Steel Boning - Not Plastic
Plastic boning is cheap and, in general, does not have the strength of steel. If you are very slim this might not be an issue, but if you have any curves at all then I would avoid plastic boning, as it tends to bend and buckle.
Cord Lacing - Not Ribbon
Ribbon is not strong enough to lace a proper corset, it will slip and fold in on itself.
A Modesty Panel
A modesty panel is an extra flap of material sown into the back of the corset to cover your back where the corset laces up. A corset is not designed to lace closed, so a gap at the back is perfectly normal. The modesty panel is for that gap.
If you don't have such a shop near you (don't forget to try local kink or steam-punk fairs) then you will need to measure yourself. Most corset retailers have good guidelines on their sites, which I really urge you to follow. You should also select a seller who will exchange your purchase if it doesn't fit.
When it comes to styles you will have to experiment. As a general rule, if you have a medium/small bust then you will find an under-bust style will suit you better, whereas an over-bust style tends to suit larger/fuller breasts.
Even though I am dedicated bargain hunter, I would always advise you to spend a little more and get a good quality corset as your first purchase. As you get accustomed to them and know what suits you then you can start bargain hunting. (Check out LoveHoney's collection of corsets and basques here.)
