What to look for when buying a "helping hand" device?
I would say that the most useful part is a strong, heavy base along with interchangeable grips.  I have had really good luck with the Panavise series before.  They are expensive, but worth every penny.

Most places that I've worked have had these on pretty much any bench that soldering or electronics work would get done.  I especially like the circuit board holder vice grip.

You can find a list of their products here: Panavise Products, Inc.