Inductor selection for a switching regulator
These sorts of parts (i.e. parts with unspecified internal compensation) can be tricky because the size of the output inductor will determine the mode of operation (CCM or DCM) and the type of feedback compensation required, along with all of the other variables that have been touched on (core loss, saturation, etc.) Because of the vagueness, there are no hard-and-fast rules here; you need to do some empirical designing.

I offer some rules-of-thumb:


Choose an inductance value that will make the ripple current somewhere around 20% of the maximum load current, and the maximum switch current (DC + ripple) at least 20% below the internal current limit of the part. Many (most?) of the "off-the-shelf" DC/DC converter inductors on the market are designed with this sort of operation in mind (mostly CCM, low ripple, low ESR) 
Choose (or design) a part that provides the inductance and current rating in an acceptable package size
Build the circuit and test under many corners (zero load, max load, overload, short circuit, input brownout, load transients, etc.) to ensure that the converter doesn't go unstable