First thing is to decide how thick it needs to be. Depends on water temperature like efeezy said. In the SF bay area, I use a 4/3 suit mostly. That means 4mm neoprene around your chest for better insulation and 3mm around your arms for better movability.
Wetsuits are all made of neoprene, I'm not aware of another material. Sealed seams are important like roclafamilia said. I saw a shorty (short arms/legs) once at Costco for $39 and it was 2mm, sewn seams, i.e. crap. Still bought one as a backup for really hot days because it was so cheap, but I rarely use it.
Wind resistance means the chest area has a thin plastic-y or rubber-ish layer on top of the neoprene. Most suits should have that. But you may also look for similar reinforcement around the knee/elbow area where it prevents early wear in those stretch zones.
I have an ONeill and, after about two years, the knee is beginning to rip just above the reinforcement. Too early IMO. Also, the seams on the neck near the zipper are coming apart. And the velcro latch on top of the zipper often catches onto the neoprene when it's open, so the neoprene around the neck looks worn and thinned. Not good, look for a better solution.
I'll second to go to a local surf/kite shop. Those guys usually care about their stuff and have a reputation to lose. They won't scam you with fake reviews and "Order Now!" come-ons like, ahem, certain other businesses. My next suit is gonna be a Mystic or Rip Curl.