It is important for the suit to fit well in the torso, shoulders, and thighs because these areas of your body are responsible for warming your blood and keeping it warm. This means that a suit that fits excellently in the torso, shoulder, and thighs but too loosely in the calves is perfectly acceptable, though not ideal. More commonly you'll find that it fits everywhere except your upper arms or forearms, which is okay. Note that men really shouldn't buy a wetsuit that is not comfortable in the groin, and if you have any interest in trapeze sailing it's worth asking if you can put a harness over the suit and try hanging in it to see if the family jewels are comfy too.
It is normal for your wetsuit to be mildly difficult to enter. However if you cannot put it on without help from a friend or some lube, it is way too tight.
Bottom line: Ideally your wetsuit should fit snugly with no airspace anywhere on your body. However if it's a little loose in the arms or lower legs, that's acceptable.
Thickness, Length and Construction
All of these factors depend on your intended season of use and your personal preference (as well as your tolerance to cold). First, here are some quick terms:
Here's the overview by season:
Cold season (Nov 1 to May 1) wetsuits tend to be thicker, either 5/3 or 4/3mm in construction. They also tend to be full suits, meaning they cover everything except your head, neck, hands and feet. Some have built-in hoods. Some sailors like the combination of farmer johns/bibs with a spraytop (waterproof jacket with water-resistant or waterproof neck and wrist closures) instead of a full suit because they dislike how a full suit limits range of motion in the arms/shoulder. Farmer johns/bibs are sleeve-less full suits (they look like overalls). Any wetsuit with waterproof seams will be warmer than one without.
Shoulder season (May 1 to July 1, Sept 1 to Nov 1) wetsuits tend to be thinner, either 3/2 or 2mm in construction. They also tend to be shorties, meaning no coverage on the calves or lower arms. Some sailors combine a neoprene top with waterproof pants instead of wearing a shortie. Some sailors with less cold tolerance combine a shortie with a spraytop for increased cold protection. Waterproof seams can increase comfort in shoulder season suits (especially if you have little tolerance for cold weather), but they are not usually necessary.
From this overview there are many options. Some sailors stick with the 5/3 suit from Sept 1 to July 1 and then cool off by capsizing. Many sailors who are quite cold tolerant find the spraytop combinations perfectly acceptable in winter. Some sailors think these people are nuts. Other sailors feel that drysuits are the only acceptable option in winter. The options are virtually limitless and we can't possibly define all of them here, so talk to your fellow sailors to see what they use and enjoy.
Construction methods can greatly impact the effectiveness of a wetsuit. Wetsuits with waterproof seams (GBS, reinforced GBS, fully glued) will always be warmer than their flatlock seamed equivalents. Wetsuits with a minimal number of seams will always be stretchier than their many-seamed equivalents. However, reducing the number of seams also affects the shape of the wetsuit, and this could result in a poorly-fitting suit.
Durability and Price
Expect your wetsuit to endure a lot more abuse than it would in other watersports. Sailboats have a lot of sharp metal hardware on deck which is perfect for slicing and dicing the lower half (and sometimes the upper half) of your suit. The $550 kitesurfing wetsuit may not be a great investment if you cut it open the first time you go sailing in it.
Look for fabric (either nylon or polyester) coated neoprene in the lower body, as well as reinforcements on the knees, butt, and groin. Avoid 'smoothskin' neoprene on the lower body, as it is prone to snagging on damn near anything. You can further protect your wetsuit by wearing a rainjacket or spray top and some board shorts or waterproof pants. This decreases the likelihood of snagging and might reduce a full tear to a partial tear. Should you damage your wetsuit, neoprene cement can be used to repair it. However don't expect perfect results on seams or large tears.
Bottom line: Price depends heavily on construction methods, thickness, and the length of you suit. $80 buys a high-quality shortie. $120-$170 buys a well-made full or farmer john suit. Waterproof seams add to the price, as well as fancy features like 'semi-dry' closures.
Some wetsuits will tout features like built-in hoods, 'waterproof' or 'semi-dry' entry/exit closures, and pee zippers. While these are nice to have, they're not absolutely necessary. If you're buying on a budget or buying your first wetsuit, avoid expensive features--you're only going to trash this one anyway.