What should I look for when purchasing a helmet?
In the US you need to look for one of three certifications: 


CPSC sticker for the US Consumer Product Safety Commission standard
American Society for Testing and Materials (ASTM) has a F1447 standard that is is identical and may be more common internationally
Snell B-95 used to be more common, but as a higher, more rigorous standard I don't think you see it any more.


It's likely that helmets available online and for the UK market will carry one of the US certifications as well as a similar EU certification.  I know there is a "CE" certification but I don't know about what it entails.

Any helmet meeting one of those certifications will provide the basic level of protection you are looking for, even if it is just $15-$20 US.  Beyond that comes the world of look, style and performance. As helmets increase in price, they decrease in weight, increase in vents, and sometimes increase in adjustability.

I know you mention that you want to buy online, but you may want to purchase your first one at your local shop for the following reasons.


Different manufactures/brands fit different shapes and sizes of heads better.  For instance, I like Specialized helmets because they tend to fit my head shape and size better than either Bell or Giro.
The shop technician can help you adjust the padding and retention straps for a correct fit.  It's not hard, but it is critical for the helmet to provide the desired protection. I see people every day riding with poor fitting or maladjusted helmets.
It's always a good idea to build a relationship with your Local Bike Shop (LBS). You never know when you are going to need a quick or emergency repair, and your LBS is more likely to help out a regular customer.


After the first helmet you will have a better idea of what you like and what fits, and you can shop around online.  You will want to replace your helmet every couple of years anyway, as it loses structural integrity overtime.

The Bicycle Helmet Safety Institute is my favorite online source for helmet info.  Start with the How To Buy page, but be sure to surf around on the site.