What should I look for when buying tubes?
I've heard a few people say brand doesn't matter and they all come from the same factory / country. I've had bad experience with some tubes though (ok I'll mention them, BBB). They would bulge in places.
I've typically had no problems with tubes from the major tyre manufacturers like Michelin, Continental and Schwalbe.
Schwalbe marketing suggests their tubes hold pressure longer than other brands due to higher quality standards or possibly more butyl, and Michelin does too for their butyl tubes.  Lightweight or Latex tubes will not hold pressure as long and need to be pumped up more often. 

I tend to think the large tire manufacturers know their rubber, they have better quality control and they care about their reputation. So I don't subscribe to the "they're all the same" philosophy.
At my LBS there is little price difference, if any, between say a standard Michelin tube and a BBB. The price difference you're seeing may be for specialist features such as very lightweight, puncture resistant, latex etc.