What should I look for when choosing a stud finder?
There are at least three different types of stud finders; unless you understand what they're doing to try to locate studs, their results may baffle you.


Magnetic - these are a pitiful joke, but they were the only thing available when I was a kid.  They don't sense the stud itself (unless you're in an office building that uses steel studs!), but rather the nails that secure the drywall to the stud. Since the stud probably doesn't have a continuous line of nails in it - and if it did, how could you possibly add more? - and since the magnet is NOT very strong, you might need to sweep up and down the wall many times to find a nail (and then try again, above and below, to make sure it's really a nail in a stud.) The only thing these have going for them is that they're CHEAP - I've seen them at the 99-cent store.
Metal-detecting - these do the same thing as the magnetic type - they don't sense the stud, but only the nails (and other metal in the wall - hence the XKCD joke), but they work on the same principles as a treasure-hunter's metal detector: an electromagnet in the detector induces a small current in nearby electrical conductors, and detects the resulting magnetic field(s).  MUCH more sensitive than the old magnetic type, so you don't have to be directly over a nail to find the stud - but also very susceptible to false positives.  These often go for $10-$15, but frankly, even at that price they're a waste of time and money.
Ultrasound - The only kind that actually does a better job than tap-and-listen.  These directly detect the stud (or at least its edges) by sensing a change in the density of the wall.  You need to zero the sensor by pressing it against a known void; after that, you slide it along the wall and it beeps (or flashes) to show that it's detected an edge.  After years of using worthless magnetic or inductive stud finders, it's a real treat to be able to find the outside edges of a stud - the correct 1.5" apart, no less! - and confidently drive a nail right down the middle.


As for a brand recommendation... I bought a Ryobi at Home Depot and have been happy with it, which probably means that brand doesn't matter much.  Get an ultrasound model, of whatever brand.