Depends on what you need it for. If you're just setting up a personal site to share blogs, pics and the like, then it's no big deal who you use.
If you plan on using it for business, then you'll want to go with a company that has uptime guarantees and different levels of support - depending on your comfort level with dealing with website issues.
If you're going to be doing e-commerce, and getting customers' personal information, then you need to pay special attention to security. You don't want your business to be the next one like this in the news.