The features to look at depend on you.
What kind of media do you want it to be able to play?
dvd, cd, dvd-a, sacd, wma, mp3, etc...
What kind of connections do you need?
hdmi, component, s-video, digital coax, 5.1 analog, etc...
You've set a budget at under $500, now make a list of the need to haves and a list of want to haves and shop for those features in your price range.
I looked at many a bunch of players and decided on the onkyo dv-sp502
I haven't had it for more than a couple of days, but i'm impressed with it so far.